Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (Q2511559): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation |
scientific article |
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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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