Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives (Q5742501): Difference between revisions

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Latest revision as of 11:19, 28 August 2024

scientific article; zbMATH DE number 7054542
Language Label Description Also known as
English
Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives
scientific article; zbMATH DE number 7054542

    Statements

    Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives (English)
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    14 May 2019
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    exotic interest rate derivatives
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    LIBOR market model
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    multilevel Monte Carlo method
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