Randomized multilevel quasi-Monte Carlo path simulation

DOI10.1142/9789814436434_0009zbMath1277.91192OpenAlexW2489947374MaRDI QIDQ2849680

Thomas Gerstner, Marco Noll

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/947599823e33e08e64bb166af2dbd4d32c67ed9b

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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