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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Abstract:

Giles (Oper. Res. 56:607-617, 2008) introduced a multi-level Monte Carlo method for approximating the expected value of a function of a stochastic differential equation solution. A key application is to compute the expected payoff of a financial option. This new method improves on the computational complexity of standard Monte Carlo. Giles analysed globally Lipschitz payoffs, but also found good performance in practice for non-globally Lipschitz cases. In this work, we show that the multi-lev...

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Publication status:
Published

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Publisher copy:
10.1007/s00780-009-0092-1

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Journal:
FINANCE AND STOCHASTICS More from this journal
Volume:
13
Issue:
3
Pages:
403-413
Publication date:
2009-09-01
DOI:
EISSN:
1432-1122
ISSN:
0949-2984
Language:
English
Keywords:
Pubs id:
pubs:191342
UUID:
uuid:abe8ac05-4687-4a02-9845-703e3b51eebe
Local pid:
pubs:191342
Source identifiers:
191342
Deposit date:
2012-12-19

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