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Einblick - Monte Carlo Methods
Multilevel Monte Carlo Methods for Heston 3/2-Model Approximations
The author presents a new Milstein-type scheme for approximating the Heston 3/2-model using Multilevel Monte Carlo methods, ensuring positivity preservation and order-one convergence.
Heston 3/2-model Approximation with Multilevel Monte Carlo Methods
MLMC methods for approximating expectations of the Heston 3/2-model with positivity-preserving properties.
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