Mile End Road
London , London E1 4NS
Queen Mary University of London
Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3507971.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
File name: SSRN-id3413751.pdf
reduced basis method (RBM), model reduction, American option, calibration, Heston model, de-Americanization
This page was processed by aws-apollo4 in 0.203 seconds