Multilevel Monte Carlo methods for applications in finance

Published 6 Dec 2012 in q-fin.CP | (1212.1377v1)

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.

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