Multilevel Richardson-Romberg extrapolation

DOI10.3150/16-BEJ822zbMath1383.65003arXiv1401.1177OpenAlexW2952469530MaRDI QIDQ2405119

Gilles Pagès, Vincent Lemaire

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.1177

zbMATH Keywords

option pricingRichardson-Romberg extrapolationEuler schememultistepnumerical experimental resultsnested Monte Carlo methodmultilevel Monte Carlo estimator

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08)

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