Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities

Raúl Tempone, Christian Bayer, Chiheb Ben Hammouda

Publication date: 7 May 2024

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

complexity robustness option pricing multilevel Monte Carlo numerical smoothing probability/density estimation

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Complexity and performance of numerical algorithms (65Y20) Numerical integration (65D30)

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