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Reference: Michael B. Giles, (2007). Improved multilevel Monte Carlo convergence using the Milstein scheme. Oxford-Man Institute of Quantitative Finance.Citable link to this page:

 

Improved multilevel Monte Carlo convergence using the Milstein scheme. Series: Working Papers

Abstract: In this paper we show that the Milstein scheme can be used to improve the convergence of the multilevel Monte Carlo method for scalar stochastic diferential equations. Numerical results for Asian, lookback, barrier and digital options demonstrate that the computational cost to achieve a root-mean-square error of Ο is reduced to Ο(ε-2). This is achieved through a careful construction of the multilevel estimator which computes the diference in expected payoff when using diferent numbers of timesteps.

Bibliographic Details

Issue Date: 2007Identifiers

Urn: uuid:1b463f64-8809-4488-8027-4faf376e91e9 Item Description

Type: info:eu-repo/semantics/workingPaper;

Language: en

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Author: Michael B. Giles - - - - Bibliographic Details Issue Date: 2007 - Identifiers Urn: uuid:1b463f64-8809-4488-8027-4faf376e91e9 - -

Source: https://ora.ox.ac.uk/objects/uuid:1b463f64-8809-4488-8027-4faf376e91e9



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