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Simulation of conditional expectations under fast mean-reverting stochastic volatility models. (English) Zbl 1534.91142

Keller, Alexander (ed.), Monte Carlo and quasi-Monte Carlo methods. Revised papers of the 14th international conference in Monte Carlo and quasi-Monte Carlo methods in scientific computing, MCQMC 2020, Oxford, United Kingdom, August 10–14, 2020. Cham: Springer. Springer Proc. Math. Stat. 387, 223-240 (2022).

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