An introduction to multilevel Monte Carlo for option valuation (Q2804491)

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An introduction to multilevel Monte Carlo for option valuation
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    title
    An introduction to multilevel Monte Carlo for option valuation (English)
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    author
    Desmond J. Higham
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    publication date
    29 April 2016
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    Mathematics Subject Classification ID
    91G60
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    65C05
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    65C30
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    91G20
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    zbMATH DE Number
    6575424
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    zbMATH Keywords
    computational complexity
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    control variate
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    Euler-Maruyama
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    Monte Carlo
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    option value
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    stochastic differential equation
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    variance reduction
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    OpenAlex ID
    W2964220983
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    arXiv ID
    1505.00965
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