A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives (2022)

First Author: Aleksandar Mijatovic
Attributed to:  Coupling and Control in Continuous Time funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Publication URI: https://arxiv.org/abs/2211.02528

Type: Working Paper