منابع مشابه
Multilevel Monte Carlo Methods
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We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and an Euler discretisation, the computational cost to achieve an accuracy of O( ) is reduced from O( −3) to O( −2(log )2). The analysis is supported by numer...
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متن کاملMultilevel Monte Carlo Simulation for Options Pricing
The candidate confirms that the work submitted is their own and the appropriate credit has been given where reference has been made to the work of others. I understand that failure to attribute material which is obtained from another source may be considered as plagiarism. Summary Mathematical models developed to price options pose challenges in producing solutions that can achieve a high level...
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ژورنال
عنوان ژورنال: Reliability Engineering & System Safety
سال: 2017
ISSN: 0951-8320
DOI: 10.1016/j.ress.2017.03.003