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...
| Hlavní autoři: | , , |
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
2009
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