An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES
DOI10.1007/978-3-319-57099-0_54zbMath1368.65011OpenAlexW2606099415MaRDI QIDQ5274991
Gilles Pagès, Cheikh Mbaye, Frédéric Vrins
Publication date: 7 July 2017
Published in: Lecture Notes in Computer Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-57099-0_54
stochastic differential equationoption pricingRichardson-Romberg extrapolationMilstein schememultilevel Monte Carloantithetic multilevel Monte Carloeuler scheme
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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