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"Analysing multi-level Monte Carlo for options with non-globally Lipschitz ..."

Michael B. Giles, Desmond J. Higham, Xuerong Mao (2009)

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DOI: 10.1007/S00780-009-0092-1

access: closed

type: Journal Article

metadata version: 2020-07-22

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Michael B. Giles, Desmond J. Higham, Xuerong Mao:
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff. Finance Stochastics 13(3): 403-413 (2009)

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