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Multilevel Monte Carlo methods for applications in finance

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  • Mike Giles
  • Lukasz Szpruch

Abstract

Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future research.

Suggested Citation

  • Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
    • Handle: RePEc:arx:papers:1212.1377
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    References listed on IDEAS

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    Cited by:

    1. Dirk Becherer & Plamen Turkedjiev, 2014. "Multilevel approximation of backward stochastic differential equations," Papers 1412.3140, arXiv.org.

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