"Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate ..."

Ailing Zeng, Jungong Xue (2019)

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DOI: 10.1137/17M1149171

access: closed

type: Journal Article

metadata version: 2019-04-18

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Ailing Zeng, Jungong Xue:
Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives. SIAM J. Financial Math. 10(1): 214-242 (2019)

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