Variance reduction through multilevel Monte Carlo path calculations

MaRDI QIDQ3515761zbMATH OpenFDO

Authors Mike Giles

Publication date 29 July 2008

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cited in

(2)

• On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
• Multilevel Monte Carlo Path Simulation

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