Multilevel Richardson-Romberg extrapolation
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Publication:2405119
DOI10.3150/16-BEJ822zbMath1383.65003arXiv1401.1177MaRDI QIDQ2405119
Publication date: 21 September 2017
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.1177
option pricing; Richardson-Romberg extrapolation; Euler scheme; multistep; numerical experimental results; nested Monte Carlo method; multilevel Monte Carlo estimator
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60-08: Computational methods for problems pertaining to probability theory
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