Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (Q496948)
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scientific article
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| English | Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives |
scientific article |
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Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (English)
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23 September 2015
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multilevel Monte Carlo simulation
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large deviations principle
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exchangeability
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basket credit derivatives
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0.7424321174621582
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0.710041880607605
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0.7060020565986633
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0.6993116140365601
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0.6901515126228333
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