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arXiv · 1212.1377

Multilevel Monte Carlo methods for applications in finance

Mike Giles·Lukasz Szpruch
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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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Mike Giles, Lukasz Szpruch. 2012-12-06. Multilevel Monte Carlo methods for applications in finance. https://arxiv.org/abs/1212.1377

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