Multi-level Monte Carlo path simulation

We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and an Euler discretisation, the computational cost to achiev...

Ausführliche Beschreibung

Bibliographische Detailangaben
1. Verfasser: Giles, M
Format: Report
Veröffentlicht: Unspecified 2006