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Multilevel Monte Carlo simulation for the Heston stochastic volatility model.
Chao Zheng
Published in:
Adv. Comput. Math. (2023)
Keyphrases
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monte carlo simulation
monte carlo
formal model
computational model
high level
stochastic model
statistical model
conceptual model
social networks
similarity measure
probability distribution
markov chain
em algorithm
frequency domain
mathematical model
stochastic programming