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Multilevel
Monte
Carlo
simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
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Faster comparison of stopping times by nested conditional Monte Carlo
Dickmann, Fabian
;
Schweizer, Nikolaus
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 101-123
Persistent link: https://www.econbiz.de/10011656716
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