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Option trading
Monte Carlo simulation
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Multilevel Monte Carlo
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multilevel Monte Carlo
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Bourgey, Florian
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European journal of operational research : EJOR
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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
Saved in:
2
General
multilevel
Monte
Carlo
methods for pricing discretely monitored Asian options
Kahalé, Nabil
- In:
European journal of operational research : EJOR
287
(
2020
)
2
,
pp. 739-748
Persistent link: https://www.econbiz.de/10012293946
Saved in:
3
Multilevel
Monte
Carlo
for exponential Lévy models
Giles, Michael B.
;
Xia, Yuan
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462
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