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International Journal of Computer Mathematics Volume 92, 2015 - Issue 12: Computational Methods in Finance
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SECTION B

An introduction to multilevel Monte Carlo for option valuation

Desmond J. HighamDepartment of Mathematics and Statistics, University of Strathclyde, Glasgow, UKCorrespondence[email protected]
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Pages 2347-2360 | Received 26 Feb 2015, Accepted 28 May 2015, Published online: 11 Sep 2015

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Z. van der Have & C. W. Oosterlee. (2018) The COS method for option valuation under the SABR dynamics. International Journal of Computer Mathematics 95:2, pages 444-464.
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Articles from other publishers (8)

Juan P. Madrigal-Cianci & Jesper Kristensen. (2022) Time-efficient Decentralized Exchange of Everlasting Options with Exotic Payoff Functions. Time-efficient Decentralized Exchange of Everlasting Options with Exotic Payoff Functions.
Hakimeh Ghodssi-Ghassemabadi & Gholam Hossein Yari. (2021) A Multilevel Monte Carlo Method for the Valuation of Swing Options. Mathematical Problems in Engineering 2021, pages 1-7.
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Juan A. Acebrón. (2020) A Probabilistic Linear Solver Based on a Multilevel Monte Carlo Method. Journal of Scientific Computing 82:3.
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David J. Warne, Ruth E. Baker & Matthew J. Simpson. (2019) Simulation and inference algorithms for stochastic biochemical reaction networks: from basic concepts to state-of-the-art. Journal of The Royal Society Interface 16:151, pages 20180943.
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Grigoriy Kimaev & Luis A. Ricardez-Sandoval. (2018) Multilevel Monte Carlo for noise estimation in stochastic multiscale systems. Chemical Engineering Research and Design 140, pages 33-43.
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Mireille Bossy & Héctor Olivero. (2018) Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs. Bernoulli 24:3.
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Amin Zollanvari & Edward R. Dougherty. (2016) Incorporating prior knowledge induced from stochastic differential equations in the classification of stochastic observations. EURASIP Journal on Bioinformatics and Systems Biology 2016:1.
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Mallory Crow, William Holik, William Schneider & Christopher Miller. (2016) Agent-based Cost Model of Inclement Ambient Weather and Transportation Maintenance Data for Budgetary Decision Making. Procedia Computer Science 83, pages 940-945.
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