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]
Identifier
- DOI: 10.1080/14697688.2020.1744700
- RWTH PUBLICATIONS: RWTH-2020-06125