Efficient simulation of a multi-factor stochastic volatility model (Q2349593)
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scientific article; zbMATH DE number 6446641
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| English | Efficient simulation of a multi-factor stochastic volatility model |
scientific article; zbMATH DE number 6446641 |
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Efficient simulation of a multi-factor stochastic volatility model (English)
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17 June 2015
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multi-factor stochastic volatility model
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importance sampling
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randomized quasi-Monte Carlo
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0.8100768327713013
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0.7934647798538208
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