Multilevel Monte Carlo for basket options (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/10.1109/wsc.2009.5429692

Publication URI: http://dx.doi.org/10.1109/wsc.2009.5429692

Type: Conference/Paper/Proceeding/Abstract

ISBN: 978-1-4244-5770-0