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
- DOI: 10.48550/arXiv.2003.05708
- arXiv: arXiv:2003.05708
- RWTH PUBLICATIONS: RWTH-2023-02168