Add to ORKGIn this paper we show that the Milstein scheme can be used to improve the convergence of the multilevel Monte Carlo method for scalar stochastic differential equations, so that the computational cost to achieve a root-mean-square error of $\epsilon$ is reduced to $O(\epsilon^{-2})$. Numerical results are presented for Asian, lookback, barrier and digital options
The Euler–Maruyama scheme is known to diverge strongly and numerically weakly when applied to nonlin...
We show that multigrid ideas can be used to reduce the computational complexity of estimating an exp...
Abstract. Stochastic collocation methods for approximating the solution of partial differential equa...
In this paper we show that the Milstein scheme can be used to improve the convergence of the multile...
In this paper we show that the Milstein scheme can be used to improve the convergence of the multile...
In this paper we show that the Milstein scheme can be used to improve the convergence of the multile...
Summary. In this paper we show that the Milstein scheme can be used to improve the convergence of th...
The multilevel Monte Carlo path simulation method introduced by Giles (Operations Research, 56(3):60...
In finance, the strong convergence properties of discretisations of stochastic differential equation...
A standard problem in mathematical finance is the calculation of the price of some financial derivativ...
In this article, we propose a Milstein finite difference scheme for a stochastic partial differentia...
AbstractThis article introduces and analyzes multilevel Monte Carlo schemes for the evaluation of th...
In this work the approximation of Hilbert-space-valued random variables is combined with the approxi...
In this work the approximation of Hilbert-space-valued random variables is combined with the approxi...
In this article, we propose a Milstein finite difference scheme for a stochastic partial differentia...
The Euler–Maruyama scheme is known to diverge strongly and numerically weakly when applied to nonlin...
We show that multigrid ideas can be used to reduce the computational complexity of estimating an exp...
Abstract. Stochastic collocation methods for approximating the solution of partial differential equa...
In this paper we show that the Milstein scheme can be used to improve the convergence of the multile...
In this paper we show that the Milstein scheme can be used to improve the convergence of the multile...
In this paper we show that the Milstein scheme can be used to improve the convergence of the multile...
Summary. In this paper we show that the Milstein scheme can be used to improve the convergence of th...
The multilevel Monte Carlo path simulation method introduced by Giles (Operations Research, 56(3):60...
In finance, the strong convergence properties of discretisations of stochastic differential equation...
A standard problem in mathematical finance is the calculation of the price of some financial derivativ...
In this article, we propose a Milstein finite difference scheme for a stochastic partial differentia...
AbstractThis article introduces and analyzes multilevel Monte Carlo schemes for the evaluation of th...
In this work the approximation of Hilbert-space-valued random variables is combined with the approxi...
In this work the approximation of Hilbert-space-valued random variables is combined with the approxi...
In this article, we propose a Milstein finite difference scheme for a stochastic partial differentia...
The Euler–Maruyama scheme is known to diverge strongly and numerically weakly when applied to nonlin...
We show that multigrid ideas can be used to reduce the computational complexity of estimating an exp...
Abstract. Stochastic collocation methods for approximating the solution of partial differential equa...