A multi-level dimension reduction Monte-Carlo method for jump-diffusion models (Q2360709)
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scientific article; zbMATH DE number 6739130
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| English | A multi-level dimension reduction Monte-Carlo method for jump-diffusion models |
scientific article; zbMATH DE number 6739130 |
Statements
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models (English)
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4 July 2017
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Monte Carlo
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dimension reduction
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multi-level
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jump-diffusions
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Lamperti-Backward-Euler
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Milstein
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0.8873105645179749
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0.8075069189071655
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0.7999218702316284
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0.7985507249832153
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0.7966276407241821
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