Weak Multilevel Path Simulation for Jump-Diffusion Assets
This paper, inspired by recent advances in the application of the multilevel Monte-Carlo (MLMC) approach to Lévy driven assets, is based on the valuation of financial derivatives. First, using the weak Euler method the numerical estimate of the underlying asset, which satisfies a multi-dimensional s...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Kharazmi University
2021-09-01
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| Series: | پژوهشهای ریاضی |
| Subjects: | |
| Online Access: | http://mmr.khu.ac.ir/article-1-2778-en.html |