Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance (2012)
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/10.1137/110841916
Publication URI: http://dx.doi.org/10.1137/110841916
Type: Journal Article/Review
Parent Publication: SIAM Journal on Financial Mathematics
Issue: 1