Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
London / Taylor & Francis (2020) [Journal Article]
Quantitative finance
Volume: 20
Issue: 9
Page(s): 1457-1473
Authors
Authors
Bayer, Christian
Ben Hammouda, Chiheb
Tempone, Raul
Identifier
- DOI: 10.1080/14697688.2020.1744700
- REPORT NUMBER: RWTH-2020-06125