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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