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scientific article

    Statements

    author
    Michael B. Giles
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    publication date
    11 June 2008
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    zbMATH Keywords
    Milstein scheme
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    convergence
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    multilevel Monte Carlo method
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    scalar stochastic differential equations
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    numerical results
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    Asian, lookback, barrier and digital options
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    Identifiers

    Mathematics Subject Classification ID
    65C30
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    60H10
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    60H35
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    65C05
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    91G60
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    zbMATH DE Number
    5286768
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