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Publication:3504233
zbMath1141.65321MaRDI QIDQ3504233
Publication date: 11 June 2008
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
convergencenumerical resultsMilstein schememultilevel Monte Carlo methodscalar stochastic differential equationsAsian, lookback, barrier and digital options
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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