Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
| Year of publication: |
2009
|
|---|---|
| Authors: | Giles, Michael B. ; Higham, Desmond J. ; Mao, Xuerong |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 13563397. - Vol. 13.2009, 3, p. 403-414
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