Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Giles (Oper. Res. 56:607-617, 2008) introduced a multi-level Monte Carlo method for approximating the expected value of a function of a stochastic differential equation solution. A key application is to compute the expected payoff of a financial option. This new method improves on the computational...

Descripció completa

Dades bibliogràfiques
Autors principals:	Giles, M, Higham, D, Mao, X
Format:	Journal article
Idioma:	English
Publicat:	2009

Ítems similars

Investigation into Vibrato Monte Carlo for the Computation of Greeks of Discontinuous Payoffs
per: Burgos, S
Publicat: (2009)

Multi-level Monte Carlo path simulation
per: Giles, M
Publicat: (2006)

Multi-level Monte Carlo approximation of distribution functions and densities
per: Giles, M, et al.
Publicat: (2015)

Monte Carlo Option Princing
per: Cecilia Maya
Publicat: (2009-11-01)

Monte Carlo Option Princing
per: Cecilia Maya
Publicat: (2004-12-01)

Monte Carlo Option Pricing
per: Cecilia Maya
Publicat: (2004-01-01)

Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
per: Giles, M, et al.
Publicat: (2020)

Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
per: Giles, M, et al.
Publicat: (2018)

Monte Carlo Simulation of an American Option
per: Gikiri Thuo
Publicat: (2007-04-01)

The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
per: Howison, S, et al.
Publicat: (2013)

Quantum advantage of Monte Carlo option pricing
per: Zoltán Udvarnoki, et al.
Publicat: (2023-01-01)

Hedge and speculate: replicating option payoffs with limit and market orders
per: Cartea, A, et al.
Publicat: (2019)

Vibrato Monte Carlo sensitivities
per: Giles, M
Publicat: (2009)

Multilevel Monte Carlo methods
per: Giles, M
Publicat: (2015)

Vibrato Monte Carlo sensitivities.
per: Giles, M
Publicat: (2007)

Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
per: Giles, M, et al.
Publicat: (2019)

Strategy Complexity of Point Payoff, Mean Payoff and Total Payoff Objectives in Countable MDPs
per: Richard Mayr, et al.
Publicat: (2023-03-01)

Monte Carlo methods for the valuation of multiple exercise options
per: Hambly, B, et al.
Publicat: (2003)

Monte Carlo methods for the valuation of multiple-exercise options
per: Meinshausen, N, et al.
Publicat: (2004)

Pricing American Options using Monte Carlo Method
per: Wu, Z
Publicat: (2012)

Monte Carlo simulation algorithms for the pricing of American options
per: Lin, P
Publicat: (2008)

Multilevel Monte Carlo path simulation
per: Giles, M
Publicat: (2008)

Multilevel Monte Carlo path simulation.
per: Giles, M
Publicat: (2007)

Non-nested adaptive timesteps in multilevel Monte Carlo computations
per: Giles, M, et al.
Publicat: (2016)

Non-nested adaptive timesteps in multilevel Monte Carlo computations
per: Giles, MB, et al.
Publicat: (2016)

Alternative Monte Carlo simulation models and the growth option with jumps
per: Susana Alonso Bonis, et al.
Publicat: (2013-10-01)

Distributed Least-Squares Monte Carlo for American Option Pricing
per: Lu Xiong, et al.
Publicat: (2023-08-01)

Monte Carlo evaluation of sensitivities in computational finance
per: Giles, M
Publicat: (2007)

Monte Carlo evaluation of sensitivities in computational finance.
per: Giles, M
Publicat: (2007)

Super-replication of European Options with Convex Payoff under Proportional Transaction Costs
per: Agnieszka Rygiel
Publicat: (2018-04-01)

Adaptive timestepping for SDEs with non-globally Lipschitz drift
per: Fang, W
Publicat: (2019)

Multilevel Monte Carlo for exponential Lévy models
per: Giles, M, et al.
Publicat: (2017)

Quasi-Monte Carlo for finance applications
per: Giles, M, et al.
Publicat: (2008)

Quasi-Monte Carlo for finance applications.
per: Giles, M, et al.
Publicat: (2008)

Monte Carlo Based Numerical Pricing of Multiple Strike-Reset Options
per: Christodoulou, S
Publicat: (2011)

Quasi-Monte Carlo simulations for Longstaff Schwartz pricing of american options
per: Couffignals, E
Publicat: (2010)

Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing
per: Qinwen Zhu, et al.
Publicat: (2021-03-01)

Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing
per: Xinyu Song, et al.
Publicat: (2017-01-01)

Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices
per: Kazem Nouri, et al.
Publicat: (2017-03-01)

Seek change, not payoffs
per: Md. , Moniruzzaman
Publicat: (2010)