Multilevel Monte Carlo for Asian options and limit theorems
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Publication:742078
Central limit and other weak theorems (60F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Asymptotic properties of parametric estimators (62F12) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- scientific article; zbMATH DE number 2133111
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(6)- Coupling importance sampling and multilevel Monte Carlo using sample average approximation
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Central limit theorem for the antithetic multilevel Monte Carlo method
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- Multilevel Monte Carlo for exponential Lévy models
- Control variates and conditional Monte Carlo for basket and Asian options
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