Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245)
From MaRDI portal
scientific article; zbMATH DE number 7282788
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model |
scientific article; zbMATH DE number 7282788 |
Statements
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (English)
0 references
7 December 2020
0 references
rough volatility
0 references
Monte Carlo
0 references
adaptive sparse grids
0 references
quasi-Monte Carlo
0 references
Brownian bridge construction
0 references
Richardson extrapolation
0 references
0 references
0 references
