Multilevel path branching for digital options

DOI10.1214/24-AAP2083MaRDI QIDQ6620084zbMATH OpenFDO

Authors Mike Giles, Abdul-Lateef Haji-Ali

Publication date 16 October 2024

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/24-AAP2083

zbMATH Keywords

branching processescomputational complexityMonte Carlomultilevelpath splitting

Mathematics Subject Classification ID

Applications of branching processes (60J85) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Adaptive multilevel Monte Carlo for probabilities
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• Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
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• Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov
• Computing Greeks using multilevel path simulation
• Conditional sampling for barrier option pricing under the LT method
• High dimensional integration of kinks and jumps -- smoothing by preintegration
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• Multilevel Monte Carlo Path Simulation
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• Sharp estimates for the convergence of the density of the Euler scheme in small time
• The smoothing effect of integration in \(\mathbb R^d\) and the ANOVA decomposition

Cited in

(1)

• Multilevel Monte Carlo method based on multigrid discretizations for stochastic eigenvalue problem

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