An introduction to multilevel Monte Carlo for option valuation (Q2804491)
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scientific article; zbMATH DE number 6575424
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An introduction to multilevel Monte Carlo for option valuation |
scientific article; zbMATH DE number 6575424 |
Statements
An introduction to multilevel Monte Carlo for option valuation (English)
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29 April 2016
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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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0.8820463418960571
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0.8581918478012085
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0.8556478023529053
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0.8444428443908691
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0.8432115316390991
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