Journal article icon

Journal article

Multilevel Monte Carlo path simulation

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

Actions


Access Document


Publisher copy:
10.1287/opre.1070.0496

Authors


More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
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

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP