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On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters

Harold A. Lay, Zane Colgin, Viktor Reshniak, Abdul Q. M. Khaliq. On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters. Monte Carlo Meth. and Appl., 24(4):309-321, 2018. [doi]

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