Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

Bayer, Christian; Ben Hammouda, Chiheb (Corresponding author); Tempone, Raul

London : Taylor & Francis (2020)
Journal Article

In: Quantitative finance
Volume: 20
Issue: 9
Page(s)/Article-Nr.: 1457-1473

Institutions

• Department of Mathematics [110000]
• Chair of Mathematics for Uncertainty Quantification [118110]