MLMC Techniques for Discontinuous Functions
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-59762-6_2
Reference34 articles.
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2. Altmayer, M., Neuenkirch, A.: Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts. SIAM J. Financ. Math. 6(1), 22–52 (2015)
3. Asmussen, S., Glynn, P.W.: Stochastic Simulation. Springer, New York (2007)
4. Avikainen, R.: On irregular functionals of SDEs and the Euler scheme. Financ. Stoch. 13(3), 381–401 (2009)
5. Bayer, C., Ben Hammouda, C., Tempone, R.: Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities. SIAM J Sci Comput 46(3), A1514–A1548 (2024). arXiv preprint: https://epubs.siam.org/doi/10.1137/22M1495718
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