Publication:3504233
From MaRDI portal
zbMath1141.65321MaRDI QIDQ3504233
Publication date: 11 June 2008
convergence; numerical results; Milstein scheme; multilevel Monte Carlo method; scalar stochastic differential equations; Asian, lookback, barrier and digital options
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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