Multilevel Nested Simulation for Efficient Risk Estimation (2019)
Attributed to:
Development of Multilevel Monte Carlo Algorithms for Mathematical Finance
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1137/18m1173186
Publication URI: http://dx.doi.org/10.1137/18m1173186
Type: Journal Article/Review
Parent Publication: SIAM/ASA Journal on Uncertainty Quantification
Issue: 2