Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245)

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scientific article; zbMATH DE number 7282788
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Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
scientific article; zbMATH DE number 7282788

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    Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (English)
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    7 December 2020
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    rough volatility
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    Monte Carlo
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    adaptive sparse grids
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    quasi-Monte Carlo
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    Brownian bridge construction
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    Richardson extrapolation
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