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discretization schemes
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stochastic volatility models
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Jourdain, Benjamin
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High order discretization schemes for stochastic volatility models
Jourdain, Benjamin
;
Sbai, Mohamed
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HAL
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2013
theoretical rates of convergence by numerical experiments and show that our schemes are well adapted to the
multilevel
Monte
Carlo
…
Persistent link: https://www.econbiz.de/10010736427
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