Multilevel Monte Carlo combined with numerical smoothing for robust and efficient option pricing and density estimation

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

(2022)
Preprint

Einrichtungen

  • Fachgruppe Mathematik [110000]
  • Lehrstuhl für Mathematics for Uncertainty Quantification [118110]

Identifikationsnummern