An Introduction to Multilevel Monte Carlo for Option Valuation
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- 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.
- Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013. "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, vol. 17(4), pages 717-742, October.
- Higham,Desmond J., 2004. "An Introduction to Financial Option Valuation," Cambridge Books, Cambridge University Press, number 9780521547574, June.
- Dereich, Steffen & Heidenreich, Felix, 2011. "A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1565-1587, July.
- Ben Alaya Mohamed & Kebaier Ahmed, 2014. "Multilevel Monte Carlo for Asian options and limit theorems," Monte Carlo Methods and Applications, De Gruyter, vol. 20(3), pages 181-194, September.
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Cited by:
- Kevin S. Zhang & Traian A. Pirvu, 2020. "Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model," Papers 2006.07771, arXiv.org.
- Pang, Chenxu & Wang, Xiaojie, 2024. "Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 178(C).
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This paper has been announced in the following NEP Reports:- NEP-CMP-2015-05-09 (Computational Economics)
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