Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff (Q964681)

The authors consider Itô stochastic differential equations (SDE) and focus on the case where the solution represents the price of an asset and the expected payoff of an option is required. The SDE is supposed to be homogeneous and scalar, with coefficients satisfying non-global Lipschitz bounds. The aim is to develop new mean-square convergence rates for Euler-Maruyama approximations to non-globally Lipschitz option payoffs. These results allow to quantify an improvement in computational complexity when standard Monte Carlo is replaced by the multi-level version.