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Persistent link: https://www.econbiz.de/10012649016
In recent literature, a new class of unbiased Monte Carlo estimators have been proposed, which is based on truncating a telescopic representation of the expectation of a functional of the stochastic process at an independent random level. The generality of the method lies in that it can...
Persistent link: https://www.econbiz.de/10012889593