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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 (2024)

First Author: Mijatovic A

Attributed to: Coupling and Control in Continuous Time funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/1350486x.2024.2400902

Publication URI: http://dx.doi.org/10.1080/1350486x.2024.2400902

Type: Journal Article/Review

Parent Publication: Applied Mathematical Finance

Issue: 2