Multilevel Monte Carlo for exponential Lévy models by Giles, M, Xia, Y

“…We also provide analysis of a trapezoidal approximation for Asian options. Our method is illustrated by numerical experiments.…”

The computation of Greeks with multilevel Monte Carlo by Burgos, S

“…</p> <p>We develop multilevel Monte Carlo estimators for the Greeks of a range of options: European options with Lipschitz payoffs (e.g. call options), European options with discontinuous payoffs (e.g. digital options), Asian options, barrier options and lookback options. …”