A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives (2022)
Attributed to:
Coupling and Control in Continuous Time
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.48550/arxiv.2211.02528
Publication URI: https://arxiv.org/abs/2211.02528
Type: Preprint