Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs (Q2926224)
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scientific article; zbMATH DE number 6362961
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs |
scientific article; zbMATH DE number 6362961 |
Statements
Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs (English)
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31 October 2014
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antithetic multilevel Monte Carlo estimators
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Brownian motion
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convergence
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computational complexity
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Lévy areas
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financial European and Asian put and call options
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stochastic differential equations
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0.9690901
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0.89980555
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0.89899445
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0.89552414
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0.8943193
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0.8932049
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0.89007264
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0.8889363
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0.8886224
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