Add to ORKGThe multilevel Monte Carlo approach introduced by Giles (Operations Research, 56(3):607-617, 2008) aims to achieve greater accuracy for the same computational cost by combining simulations in different levels of discretization. In particular for digital options, previous related work has suggested the conditional expectation approach and the technique of splitting in multiple dimensions. In this paper, we suggest the change of measure approach as an alternative for splitting and analyse its efficiency compared to previous methods in both scalar and multidimensional cases
With Monte Carlo methods, to achieve improved accuracy one often requires more expensive sampling (s...
Giles (Multilevel Monte Carlo path simulation Operations Research, 2008; 56:607-617) introduced a mu...
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs ...
This dissertation explores the remarkable variance reduction effects that can be achieved combining ...
>Magister Scientiae - MScIn Monte Carlo path simulations, which are used extensively in computationa...
Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this cont...
We propose a new Monte Carlo-based estimator for digital options with assets modelled by a stochasti...
AbstractOne-way coupling often occurs in multi-dimensional stochastic models in finance. In this pap...
One-way coupling often occurs in multi-dimensional models in finance. In this paper, we present a di...
This paper develops and analyses convergence properties of a novel multi-level Monte-Carlo (mlMC) me...
In this paper, we propose and analyze a novel combination of multilevel Richardson-Romberg (ML2R) an...
A standard problem in mathematical finance is the calculation of the price of some financial derivativ...
One-way coupling often occurs in multi-dimensional stochastic models in finance. In this paper, we d...
In Monte Carlo path simulations, which are used extensively in computational fi-nance, one is intere...
無The Monte Carlo Simulation is the most popular and widely used numerical method on option pricing. ...
With Monte Carlo methods, to achieve improved accuracy one often requires more expensive sampling (s...
Giles (Multilevel Monte Carlo path simulation Operations Research, 2008; 56:607-617) introduced a mu...
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs ...
This dissertation explores the remarkable variance reduction effects that can be achieved combining ...
>Magister Scientiae - MScIn Monte Carlo path simulations, which are used extensively in computationa...
Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this cont...
We propose a new Monte Carlo-based estimator for digital options with assets modelled by a stochasti...
AbstractOne-way coupling often occurs in multi-dimensional stochastic models in finance. In this pap...
One-way coupling often occurs in multi-dimensional models in finance. In this paper, we present a di...
This paper develops and analyses convergence properties of a novel multi-level Monte-Carlo (mlMC) me...
In this paper, we propose and analyze a novel combination of multilevel Richardson-Romberg (ML2R) an...
A standard problem in mathematical finance is the calculation of the price of some financial derivativ...
One-way coupling often occurs in multi-dimensional stochastic models in finance. In this paper, we d...
In Monte Carlo path simulations, which are used extensively in computational fi-nance, one is intere...
無The Monte Carlo Simulation is the most popular and widely used numerical method on option pricing. ...
With Monte Carlo methods, to achieve improved accuracy one often requires more expensive sampling (s...
Giles (Multilevel Monte Carlo path simulation Operations Research, 2008; 56:607-617) introduced a mu...
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs ...