Implementation and analysis of an adaptive multilevel Monte Carlo algorithm (Q5402530)
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scientific article; zbMATH DE number 6270083
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| English | Implementation and analysis of an adaptive multilevel Monte Carlo algorithm |
scientific article; zbMATH DE number 6270083 |
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Implementation and analysis of an adaptive multilevel Monte Carlo algorithm (English)
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14 March 2014
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computational finance
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Monte Carlo
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multilevel
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adaptivity
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weak approximation
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error control
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Euler-Maruyama method
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a posteriori error estimates
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backward dual functions
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adjoints
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numerical examples
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Itô stochastic differential equations
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algorithm
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0.9027705788612366
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0.8510124683380127
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0.8398839235305786
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0.83012855052948
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0.8241893649101257
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