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Multilevel Path Simulation for Jump-Diffusion SDEs - MaRDI portal

Multilevel Path Simulation for Jump-Diffusion SDEs (Q5326141)

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scientific article; zbMATH DE number 6193394
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Multilevel Path Simulation for Jump-Diffusion SDEs
scientific article; zbMATH DE number 6193394

    Statements

    title
    Multilevel Path Simulation for Jump-Diffusion SDEs (English)
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    author
    Yuan Xia
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    Michael B. Giles
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    publication date
    31 July 2013
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    60H10
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    60H35
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    zbMATH DE Number
    6193394
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    zbMATH Keywords
    multilevel Monte Carlo path simulation method
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    jump-diffusion SDEs
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    finite rate activity
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    option pricing
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    OpenAlex ID
    W148696609
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    arXiv ID
    1106.4730
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