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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.; Higham, Desmond J.; Mao, Xuerong - In: Finance and stochastics 13 (2009) 3, pp. 403-414
Persistent link: https://www.econbiz.de/10008274836
Cover Image
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.; Higham, Desmond J.; Mao, Xuerong - In: Finance and stochastics 13 (2009) 3, pp. 403-413
Persistent link: https://www.econbiz.de/10003899321
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Multilevel Monte Carlo for exponential Lévy models
Giles, Michael B.; Xia, Yuan - In: Finance and stochastics 21 (2017) 4, pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462