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...
| 第一著者: | |
|---|---|
| フォーマット: | Report |
| 出版事項: |
Unspecified
2006
|