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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English | 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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