Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations (Q5256556)
From MaRDI portal
scientific article; zbMATH DE number 6447197
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations |
scientific article; zbMATH DE number 6447197 |
Statements
Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations (English)
0 references
18 June 2015
0 references
constructive quantization
0 references
multilevel algorithms
0 references
quadrature formulas
0 references
complexity analysis
0 references
Heston model
0 references
Malliavin calculus-based payoff smoothing
0 references
error estimate
0 references
central limit theorem
0 references
multilevel Monte Carlo algorithm
0 references
0 references
0 references
0 references
0 references
