Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets
Author:
Affiliation:
1. Weierstrass Institute for Applied, Analysis and Stochastics; Mohrenstrasse 39 10117 Berlin Germany
2. Dipartimento di Matematica; Università di Roma 1; Piazzale Aldo Moro, 2 I-00185 Roma Italia
Publisher
Wiley
Subject
Applied Mathematics,General Mathematics
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