Multilevel Monte Carlo methods for applications in finance
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Publication:2849669
DOI10.1142/9789814436434_0001zbMath1277.91193arXiv1212.1377OpenAlexW1543358791MaRDI QIDQ2849669
Lukasz Szpruch, Michael B. Giles
Publication date: 24 September 2013
Published in: Recent Developments in Computational Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.1377
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
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