A Multi-Level Monte-Carlo with FEM for XVA in European Options

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Authors: Graziana Colonna, Ana M. Ferreiro-Ferreiro and Carlos Vázquez

Journal title: Progress in Industrial Mathematics at ECMI 2021

Journal number: 1

Journal publisher: Springer

Published year: 2022

Published pages: 321-327

DOI identifier: 10.1007/978-3-031-11818-0_42

ISBN: 978-3-031-11818-0