Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing

DOI10.1214/105051605000000511zbMath1099.65011arXivmath/0602529OpenAlexW3105063129MaRDI QIDQ2496505

Ahmed Kebaier

Publication date: 10 July 2006

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

Full work available at URL: https://arxiv.org/abs/math/0602529

zbMATH Keywords

algorithmstochastic differential equationconvergenceoption pricingerror boundsMonte Carlo simulationcentral limit theoremfinanceEuler scheme

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

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