Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets
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Publication:2922151
DOI10.1002/cpa.21488zbMath1302.91193OpenAlexW2096919360MaRDI QIDQ2922151
Christian Bayer, Peter Laurence
Publication date: 9 October 2014
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cpa.21488
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Heat kernel (35K08)
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