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Improved multilevel Monte Carlo convergence using the Milstein scheme

Giles, M. B. (2006) Improved multilevel Monte Carlo convergence using the Milstein scheme. Technical Report. Unspecified. (Submitted)

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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 differential equations, so that the computational cost to achieve a root-mean-square error of $\epsilon$ is reduced to $O(\epsilon^{-2})$. Numerical results are presented for Asian, lookback, barrier and digital options.

Item Type:Technical Report (Technical Report)
Subjects:H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1102
Deposited By:Lotti Ekert
Deposited On:11 May 2011 10:29
Last Modified:11 May 2011 10:29

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