Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
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DOI: 10.1515/mcma-2013-0014
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References listed on IDEAS
- Michael Giles & Desmond Higham & Xuerong Mao, 2009. "Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff," Finance and Stochastics, Springer, vol. 13(3), pages 403-413, September.
- Gobet, Emmanuel, 2000. "Weak approximation of killed diffusion using Euler schemes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 167-197, June.
- Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
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Keywords
Computational finance; Monte Carlo; multilevel; adaptivity; weak approximation; error control; Euler–Maruyama method; a posteriori error estimates; backward dual functions; adjoints;All these keywords.
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