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Multilevel Monte Carlo adapted to bermudan options using randomized stopping rule

Chen, Longyun (2010) Multilevel Monte Carlo adapted to bermudan options using randomized stopping rule. Masters thesis, Mathematical Institute.

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Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:934
Deposited By:Laura Auger
Deposited On:21 Jul 2010 07:35
Last Modified:21 Jul 2010 07:35

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