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...

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Bibliografiska uppgifter
Huvudupphovsman: Giles, M
Materialtyp: Report
Publicerad: Unspecified 2006