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"Multilevel Monte Carlo methods and lower-upper bounds in initial margin ..."

Florian Bourgey et al. (2020)

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DOI: 10.1515/MCMA-2020-2062

access: closed

type: Journal Article

metadata version: 2023-06-26

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  - https://dblp.org/rec/journals/mcma/BourgeyMGZ20
Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou:
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Monte Carlo Methods Appl. 26(2): 131-161 (2020)

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