Improved multilevel Monte Carlo convergence using the Milstein scheme

被引：116

作者：

Giles, Mike ^{[1
]}

机构：

[1] Univ Oxford, Comp Lab, Oxford, England

来源：

MONTE CARLO AND QUASI-MONTE CARLO METHODS 2006 | 2008年

基金：

英国工程与自然科学研究理事会;

关键词：

D O I：

10.1007/978-3-540-74496-2_20

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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. Numerical results for Asian, lookback, barrier and digital options demonstrate that the computational cost to achieve a root-mean-square error of 6 is reduced to O(epsilon(-2)). This is achieved through a careful construction of the multilevel estimator which computes the difference in expected payoff when using different numbers of timesteps.

引用

页码：343 / 358

页数：16

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