Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts

Altmayer, Martin ; Neuenkirch, Andreas

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Document Type: Article
Year of publication: 2015
The title of a journal, publication series: SIAM Journal on Financial Mathematics : SIFIN
Volume: 6
Issue number: 1
Page range: 22-52
Place of publication: Philadelphia, Pa.
Publishing house: SIAM
ISSN: 1945-497X
Publication language: English
Institution: School of Business Informatics and Mathematics > Wirtschaftsmathematik II: Stochastische Numerik (Neuenkirch 2013-)
Subject: 510 Mathematics
Additional information: Online-Ressource

Dieser Eintrag ist Teil der Universitätsbibliographie.

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BASE: Altmayer, Martin ; Neuenkirch, Andreas

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ORCID: Altmayer, Martin ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225

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