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@InProceedings{hickernell_et_al:DagSemProc.09391.3, author = {Hickernell, Fred J. and M\"{u}ller-Gronbach, Thomas and Niu, Ben and Ritter, Klaus}, title = {{Evaluating Expectations of Functionals of Brownian Motions: a Multilevel Idea}}, booktitle = {Algorithms and Complexity for Continuous Problems}, pages = {1--19}, series = {Dagstuhl Seminar Proceedings (DagSemProc)}, ISSN = {1862-4405}, year = {2009}, volume = {9391}, editor = {Thomas M\"{u}ller-Gronbach and Leszek Plaskota and Joseph. F. Traub}, publisher = {Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik}, address = {Dagstuhl, Germany}, URL = {https://drops.dagstuhl.de/opus/volltexte/2009/2298}, URN = {urn:nbn:de:0030-drops-22987}, doi = {10.4230/DagSemProc.09391.3}, annote = {Keywords: Brownian motions, multilevel, option pricing, worst-case error} }
Keywords: | Brownian motions, multilevel, option pricing, worst-case error | |
Seminar: | 09391 - Algorithms and Complexity for Continuous Problems | |
Issue date: | 2009 | |
Date of publication: | 02.12.2009 |