Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
| Year of publication: |
2009
|
|---|---|
| Authors: | Giles, Michael ; Higham, Desmond ; Mao, Xuerong |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 3, p. 403-413
|
| Publisher: |
Springer |
| Subject: | Barrier option | Complexity | Digital option | Euler–Maruyama | Lookback option | Path-dependent option | Statistical error | Strong error | Weak error |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005061364