Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff

DOI10.1007/s00780-009-0092-1zbMath1199.65008MaRDI QIDQ964681

Xuerong Mao, Michael B. Giles, Desmond J. Higham

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0092-1

zbMATH Keywords

computational complexity; convergence; weak error; lookback option; statistical error; Itô stochastic differential equations; strong error; path-dependent option; Barrier option; digital option; Euler-Maruyama approximations

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L70: Error bounds for numerical methods for ordinary differential equations

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