Multilevel Monte Carlo methods for applications in finance
Computational Finance
2013-08-21 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1212.1377,
title = {Multilevel Monte Carlo methods for applications in finance},
author = {Mike Giles and Lukasz Szpruch},
journal= {arXiv preprint arXiv:1212.1377},
year = {2013}
}
Comments
arXiv admin note: text overlap with arXiv:1202.6283; and with arXiv:1106.4730 by other authors