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Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts.

Martin AltmayerAndreas Neuenkirch
Published in: SIAM J. Financial Math. (2015)
Keyphrases
  • monte carlo
  • monte carlo simulation
  • markov chain
  • probabilistic model
  • monte carlo method
  • probability distribution
  • game theory
  • simulation study
  • bayesian framework
  • importance sampling
  • monte carlo methods