Multi-level Monte Carlo path simulation

Multi-level Monte Carlo path simulation

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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...

書誌詳細
第一著者:	Giles, M
フォーマット:	Report
出版事項:	Unspecified 2006

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