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"On the implementation of multilevel Monte Carlo simulation of the ..."

Harold A. Lay et al. (2018)

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DOI: 10.1515/MCMA-2018-2025

access: closed

type: Journal Article

metadata version: 2020-07-03

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  - https://dblp.org/rec/journals/mcma/LayCRK18
Harold A. Lay, Zane Colgin, Viktor Reshniak, Abdul Q. M. Khaliq:
On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters. Monte Carlo Methods Appl. 24(4): 309-321 (2018)

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