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

DOI10.1007/s00780-009-0092-1zbMath1199.65008OpenAlexW2023446392MaRDI 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 complexityconvergenceweak errorlookback optionstatistical errorItô stochastic differential equationsstrong errorpath-dependent optionBarrier optiondigital optionEuler-Maruyama approximations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

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Cites Work

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• The optimal uniform approximation of systems of stochastic differential equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Efficient Monte Carlo simulation of security prices
• Multilevel Monte Carlo Path Simulation
• Discrete Sampling of Functionals of Ito Processes
• An Introduction to Financial Option Valuation

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