Accelerating Monte Carlo simulation of Libor market model via control variates and parallelization

LIANG Yi-juan, XU Cheng-long

Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (5) : 1131-1136.

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Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (5) : 1131-1136. DOI: 10.12011/1000-6788(2014)5-1131

Accelerating Monte Carlo simulation of Libor market model via control variates and parallelization

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2014, 34(5): 1131-1136 https://doi.org/10.12011/1000-6788(2014)5-1131

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