A Multi-Level Monte Carlo Lagrange-Galerkin method for solving a XVA hybrid model in European options

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Authors: Graziana Colonna, Ana M. Ferreiro-Ferreiro, José A. García-Rodríguez and Carlos Vázquez

Journal title: SSRN

Journal publisher: SSRN

Published year: 2023

DOI identifier: 10.2139/ssrn.4353116