Multilevel Monte Carlo for exponential Lévy models (2017)

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/s00780-017-0341-7

Publication URI: http://dx.doi.org/10.1007/s00780-017-0341-7

Type: Journal Article/Review

Parent Publication: Finance and Stochastics

Issue: 4