An introduction to multilevel Monte Carlo for option valuation (Q2804491)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An introduction to multilevel Monte Carlo for option valuation |
scientific article |
Statements
An introduction to multilevel Monte Carlo for option valuation (English)
0 references
29 April 2016
0 references
computational complexity
0 references
control variate
0 references
Euler-Maruyama
0 references
Monte Carlo
0 references
option value
0 references
stochastic differential equation
0 references
variance reduction
0 references
