"Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the ..."

Martin Altmayer, Andreas Neuenkirch (2015)

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DOI: 10.1137/130933629

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type: Journal Article

metadata version: 2024-10-06

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Martin Altmayer, Andreas Neuenkirch:
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts. SIAM J. Financial Math. 6(1): 22-52 (2015)

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