Browsing by Author "Kazeem, Funmilayo Eniola"
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Multilevel Monte Carlo simulation in options pricing
Kazeem, Funmilayo Eniola (University of the Western Cape, 2014)In Monte Carlo path simulations, which are used extensively in computational -finance, one is interested in the expected value of a quantity which is a functional of the solution to a stochastic differential equation [M.B. ...