Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity (Q5295323)
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scientific article; zbMATH DE number 5175229
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity |
scientific article; zbMATH DE number 5175229 |
Statements
Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity (English)
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27 July 2007
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Euler-Maruyama scheme
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Vandermonde determinant
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lookback option
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barrier option
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Brownian diffusion process
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numerical experiments
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multi-step Richardson-Romberg extrapolation method
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weak time discretization error
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Monte Carlo simulations
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Brownian bridge
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