- Abstract:
- We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and a Euler discretisation, the computational cost to achieve an accuracy of O(ε) is reduced from O(ε-3) to O(ε-2(logε)2). The analysis is supported, by numerical results showing significant computational savings. © 2008 INFORMS.
- Publication status:
- Published
- Publisher copy:
- 10.1287/opre.1070.0496
-
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- Journal:
- OPERATIONS RESEARCH
- Volume:
- 56
- Issue:
- 3
- Pages:
- 607-617
- Publication date:
- 2008
- DOI:
- EISSN:
-
1526-5463
- ISSN:
-
0030-364X
- URN:
-
uuid:0aa80ab7-9406-4778-8f1a-cdafc9c1ed9b
- Source identifiers:
-
9277
- Local pid:
- pubs:9277
- Language:
- English
- Keywords:
- Copyright date:
- 2008
Journal article
Multilevel Monte Carlo path simulation
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