An introduction to Multilevel Monte Carlo with applications to options.

An introduction to Multilevel Monte Carlo with applications to options.

A standard problem in mathematical finance is the calculation of the price of some financial derivative such as various types of options. Since there exists analytical solutions in only a few cases it will often boil down to estimating the price with Monte Carlo simulation in conjunction with some num...

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Bibliographic Details
Main Author: Cronvald, Kristofer
Format: Others
Language:English
Published: Umeå universitet, Institutionen för matematik och matematisk statistik 2019
Subjects:
Multilevel Monte Carlo
Options
Mathematical finance
Simulation
Stochastic Differential Equations
Computational complexity
Strong convergence
Weak convergence
Euler-Maruyama
Milstein.
Mathematics
Matematik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-166671

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http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-166671

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