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Pieter Fabry

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#software testing Open access Oct 2026

Binomial MLMC: code artifact

Software and hardware sources for multilevel Monte Carlo (MLMC) pricing of an arithmetic-average Asian call with Binomial MLMC: exact Binomial-count increments on a Cox–Ross–Rubinstein lattice, drawn from alias tables, with prices read from a ROM, so that the per-step kernel needs no multiplier.Contents: - Python MLMC...

Pieter Fabry · 0 citations

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