Multilevel path branching for digital options
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Publication:6620084
DOI10.1214/24-aap2083zbMATH Open1548.91125MaRDI QIDQ6620084
Abdul-Lateef Haji-Ali, Mike Giles
Publication date: 16 October 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of branching processes (60J85) Numerical solutions to stochastic differential and integral equations (65C30)
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