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Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts

By Martin Altmayer and Andreas Neuenkirch
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Year: 2015
DOI identifier: 10.1137/130933629
OAI identifier:
Provided by: MUCC (Crossref)
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