Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
Year of publication: |
2020
|
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Authors: | Bayer, Christian ; Ben Hammouda, Chiheb ; Tempone, Raúl |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 9, p. 1457-1473
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Subject: | Adaptive sparse grids | Brownian bridge construction | Monte Carlo | Quasi-Monte Carlo | Richardson extrapolation | Rough volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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