Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives

DOI10.1137/17M1149171zbMath1411.91629OpenAlexW2923796548WikidataQ128177388 ScholiaQ128177388MaRDI QIDQ5742501

Ailing Zeng, Jungong Xue

Publication date: 14 May 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1149171

zbMATH Keywords

multilevel Monte Carlo methodLIBOR market modelexotic interest rate derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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