Multilevel Monte Carlo path simulation

Operations Research

Volumn 56, Issue 3, 2008, Pages 607-617

  Giles, Michael B ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Analysis of algorithms: Computational complexity; Finance; Simulation: Efficiency. Area of review : Financial engineering

Indexed keywords

DIFFERENTIAL EQUATIONS; FINANCE; MONTE CARLO METHODS;

ANALYSIS OF ALGORITHMS: COMPUTATIONAL COMPLEXITY; COMPUTATIONAL COSTS; COMPUTATIONAL SAVINGS; DISCRETISATION; EXPECTED VALUES; LIPSCHITZ; MONTE CARLO; MULTI GRIDS; NUMERICAL RESULTS; PATH SIMULATIONS; SIMULATION: EFFICIENCY. AREA OF REVIEW : FINANCIAL ENGINEERING; STOCHASTIC DIFFERENTIAL EQUATIONS;

COMPUTATIONAL COMPLEXITY;

EID: 61449162945     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1070.0496     Document Type: Article

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