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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael
;
Higham, Desmond
;
Mao, Xuerong
- In:
Finance and Stochastics
13
(
2009
)
3
,
pp. 403-413
Persistent link: https://www.econbiz.de/10005061364
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