A multilevel Monte Carlo method for the valuation of swing options
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Publication:6483786
DOI10.1155/2021/8407324zbMATH Open1512.91165MaRDI QIDQ6483786FDOQ6483786
Hakimeh Ghodssi-Ghassemabadi, Gholamhossein Yari
Publication date: 5 May 2021
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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