Multilevel Monte Carlo simulation in options pricing
>Magister Scientiae - MSc === In Monte Carlo path simulations, which are used extensively in computational -finance, one is interested in the expected value of a quantity which is a functional of the solution to a stochastic differential equation [M.B. Giles, Multilevel Monte Carlo Path Simulati...
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| Language: | en |
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University of the Western Cape
2015
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| Online Access: | http://hdl.handle.net/11394/4349 |