An introduction to multilevel Monte Carlo for option valuation

DOI10.1080/00207160.2015.1077236zbMath1335.91102arXiv1505.00965OpenAlexW2964220983MaRDI QIDQ2804491

Desmond J. Higham

Publication date: 29 April 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.00965

zbMATH Keywords

computational complexitystochastic differential equationMonte Carlovariance reductioncontrol variateoption valueEuler-Maruyama

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

The COS method for option valuation under the SABR dynamics ⋮ A probabilistic linear solver based on a multilevel Monte Carlo method

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