Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$
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- Michael B. Giles & Lukasz Szpruch, 2012. "Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'{e}vy area simulation," Papers 1202.6283, arXiv.org, revised May 2014.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2014-12-29 (Computational Economics)
- NEP-RMG-2014-12-29 (Risk Management)
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