Michael B. Giles, Yuan Xia. Multilevel Monte Carlo for exponential Lévy models. Finance and Stochastics, 21(4):995-1026, 2017. [doi]
@article{GilesX17,
title = {Multilevel Monte Carlo for exponential Lévy models},
author = {Michael B. Giles and Yuan Xia},
year = {2017},
doi = {10.1007/s00780-017-0341-7},
url = {https://doi.org/10.1007/s00780-017-0341-7},
researchr = {https://researchr.org/publication/GilesX17},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {21},
number = {4},
pages = {995-1026},
}