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"Stochastic Finite Differences and Multilevel Monte Carlo for a Class of ..."

Michael B. Giles, Christoph Reisinger (2012)

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DOI: 10.1137/110841916

access: closed

type: Journal Article

metadata version: 2022-04-09

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Michael B. Giles, Christoph Reisinger:
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance. SIAM J. Financial Math. 3(1): 572-592 (2012)

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