Randomized multilevel quasi-Monte Carlo path simulation

DOI10.1142/9789814436434_0009zbMATH Open1277.91192OpenAlexW2489947374MaRDI QIDQ2849680FDOQ2849680

Authors: Thomas Gerstner, Marco Noll 

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/947599823e33e08e64bb166af2dbd4d32c67ed9b

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (8)

• Efficient risk estimation via nested multilevel quasi-Monte Carlo simulation
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• Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system
• Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
• Title not available (Why is that?)
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• On the convergence of the quasi-regression method: polynomial chaos and regularity
• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS

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