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Quantitative Finance 2020 / 04

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

Bayer, Christian, Ben Hammouda, Chiheb, Tempone, Raúl
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Journal:
Quantitative Finance
DOI:
10.1080/14697688.2020.1744700
Date:
April, 2020
File:
PDF, 1.14 MB
2020
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