Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives (Q5742501)
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scientific article; zbMATH DE number 7054542
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives |
scientific article; zbMATH DE number 7054542 |
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Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives (English)
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14 May 2019
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exotic interest rate derivatives
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LIBOR market model
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multilevel Monte Carlo method
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