How many paths to simulate correlated Brownian motions?
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- Luschgy, Harald & Pagès, Gilles, 2006. "Functional quantization of a class of Brownian diffusions: A constructive approach," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 310-336, February.
- Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
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This paper has been announced in the following NEP Reports:- NEP-CMP-2017-08-20 (Computational Economics)
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