Computing Greeks with Multilevel Monte Carlo Methods using Importance Sampling

Computing Greeks with Multilevel Monte Carlo Methods using Importance Sampling

This paper presents a new efficient way to reduce the variance of an estimator of popular payoffs and greeks encounter in financial mathematics. The idea is to apply Importance Sampling with the Multilevel Monte Carlo recently introduced by M.B. Giles. So far, Importance Sampling was proved successf...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur:	Euget, T
Fformat:	Traethawd Ymchwil
Cyhoeddwyd:	University of Oxford;Mathematical Institute 2012

Eitemau Tebyg

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