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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Xehetasun bibliografikoak
Egile nagusia: Giles, M
Formatua: Report
Argitaratua: Unspecified 2006
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Multilevel Monte Carlo path simulation nork Giles, M

Argitaratua 2008
Journal article
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Multilevel Monte Carlo path simulation. nork Giles, M

Argitaratua 2007
Working paper