The Mathematical Institute, University of Oxford, Eprints Archive

Multilevel Change of Measure for Complex Digital Options

Wang, Jiaxing (2014) Multilevel Change of Measure for Complex Digital Options. Masters thesis, Oxford University.

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Abstract

The multilevel Monte Carlo approach introduced by Giles (Operations Research, 56(3):607-617, 2008) aims to achieve greater accuracy for the same computational cost by combining simulations in different levels of discretization. In particular for digital options, previous related work has suggested the conditional expectation approach and the technique of splitting in multiple dimensions. In this paper, we suggest the change of measure approach as an alternative for splitting and analyse its efficiency compared to previous methods in both scalar and multidimensional cases.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1853
Deposited By: Laura Auger
Deposited On:07 Aug 2014 06:39
Last Modified:29 May 2015 19:33

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