Efficient Monte Carlo simulation for integral functionals of Brownian motion
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Publication:2442860
DOI10.1016/j.jco.2013.12.005zbMath1287.65004OpenAlexW1979768500MaRDI QIDQ2442860
Publication date: 1 April 2014
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jco.2013.12.005
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30)
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