Improved multilevel Monte Carlo convergence using the Milstein scheme.
In this paper we show that the Milstein scheme can be used to improve the convergence of the multilevel Monte Carlo method for scalar stochastic diferential equations. Numerical results for Asian, lookback, barrier and digital options demonstrate that the computational cost to achieve a root-mean-sq...
| Main Author: | |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Oxford-Man Institute of Quantitative Finance
2007
|