Improved multilevel Monte Carlo convergence using the Milstein scheme (Q3504233)
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scientific article; zbMATH DE number 5286768
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| English | Improved multilevel Monte Carlo convergence using the Milstein scheme |
scientific article; zbMATH DE number 5286768 |
Statements
11 June 2008
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Milstein scheme
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convergence
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multilevel Monte Carlo method
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scalar stochastic differential equations
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numerical results
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Asian, lookback, barrier and digital options
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0.8559890985488892
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0.8164708614349365
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0.8100747466087341
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0.8040482401847839
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0.801816999912262
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