Multilevel Monte Carlo for exponential Lévy models

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Publication:2412390

DOI10.1007/s00780-017-0341-7zbMath1403.91371arXiv1403.5309OpenAlexW1559531285WikidataQ59613327 ScholiaQ59613327MaRDI QIDQ2412390

Michael B. Giles, Yuan Xia

Publication date: 23 October 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.5309




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