English

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

R2 v1 2026-06-21T22:49:50.270Z