An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES (Q5274991)
From MaRDI portal
scientific article; zbMATH DE number 6740800
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES |
scientific article; zbMATH DE number 6740800 |
Statements
An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES (English)
0 references
7 July 2017
0 references
multilevel Monte Carlo
0 references
antithetic multilevel Monte Carlo
0 references
Richardson-Romberg extrapolation
0 references
Milstein scheme
0 references
option pricing
0 references
euler scheme
0 references
stochastic differential equation
0 references
