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A fast Monte Carlo scheme for additive processes and option pricing

Crossref DOI link: https://doi.org/10.1007/s10287-023-00463-1

Published Online: 2023-06-25

Published Print: 2023-12

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Azzone, Michele https://orcid.org/0000-0002-0517-796X
Baviera, Roberto https://orcid.org/0000-0002-8557-979X
Funding

Funding for this research was provided by:

Politecnico di Milano
License Information

Text and Data Mining valid from 2023-06-25

Version of Record valid from 2023-06-25
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Article History

Received: 8 October 2022

Accepted: 8 June 2023

First Online: 25 June 2023