Multilevel 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 diferential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and an Euler discretisation, the computational cost to achieve...
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| Format: | Working paper |
| Language: | English |
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Oxford-Man Institute of Quantitative Finance
2007
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