Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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- Denis Belomestny & Tigran Nagapetyan, 2014. "Multilevel path simulation for weak approximation schemes," Papers 1406.2581, arXiv.org, revised Oct 2014.
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- repec:bpj:mcmeap:v:23:y:2017:i:1:p:1-12:n:1 is not listed on IDEAS
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KeywordsHeston model; numerical methods for stochastic differential equations; mathematical finance; quasi-Monte Carlo method;
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