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Multilevel Monte Carlo methods for applications in finance

Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future research.
Year of publication:
2012-12
Authors: Giles, Mike ; Szpruch, Lukasz
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
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Persistent link: https://www.econbiz.de/10010599945
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