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 differential equations. Numerical results for Asian, lookback, barrier and digital options demonstrate that the computational cost to achieve a root-mean-s...

Full description

Bibliographic Details
Main Author: Giles, M
Format: Book section
Published: Springer Verlag 2008