Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts (Q5253180)
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scientific article; zbMATH DE number 6442992
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts |
scientific article; zbMATH DE number 6442992 |
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Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts (English)
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4 June 2015
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generalized Heston model
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discontinuous payoffs
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integration by parts formula
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Malliavin calculus
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multilevel Monte Carlo quadrature
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drift-implicit Euler scheme
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