Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (Q2511559): Difference between revisions

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Latest revision as of 20:06, 8 July 2024

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Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
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    Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (English)
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    6 August 2014
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    Monte Carlo
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    multilevel
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    Lévy area
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    stochastic differential equation
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    Brownian motions
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    convergence
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    computational complexity
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    European and Asian put and call options
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