Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff (2009)

First Author: Giles M
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/10.1007/s00780-009-0092-1

Publication URI: http://dx.doi.org/10.1007/s00780-009-0092-1

Type: Journal Article/Review

Parent Publication: Finance and Stochastics

Issue: 3