Interpolated Drift Implicit Euler MLMC Method for Barrier Option Pricing and application to CIR and CEV Models
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- Ahmed Kebaier & Jérôme Lelong, 2018. "Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 611-641, June.
- 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.
- Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
- Ahmed Kebaier & Jérôme Lelong, 2018. "Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation," Post-Print hal-01214840, HAL.
- Alfonsi, Aurélien, 2013. "Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 602-607.
- Michael B. Giles & Kristian Debrabant & Andreas Ro{ss}ler, 2013. "Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation," Papers 1302.4676, arXiv.org, revised Jun 2019.
- Dmitry Davydov & Vadim Linetsky, 2001. "Pricing and Hedging Path-Dependent Options Under the CEV Process," Management Science, INFORMS, vol. 47(7), pages 949-965, July.
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Cited by:
- Mohamed Ben Alaya & Ahmed Kebaier & Djibril Sarr, 2024. "Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure," Papers 2409.12783, arXiv.org.
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