A review of efficient Multilevel Monte Carlo algorithms for derivative pricing and risk management-Reference-Cited by-同舟云学术

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A review of efficient Multilevel Monte Carlo algorithms for derivative pricing and risk management

Published:2023 Issue: Volume:10 Page:102078
ISSN:2215-0161
Container-title:MethodsX
language:en
Short-container-title:MethodsX

Author:

Sinha Devang,Chakrabarty Siddhartha P.^ORCID

Publisher

Elsevier BV

Subject

Medical Laboratory Technology,Clinical Biochemistry

Reference27 articles.

1. Multilevel monte carlo path simulation;Giles;Operations research,2008

2. Improved multilevel monte carlo convergence using the milstein scheme;Giles,2008

3. Antithetic multilevel monte carlo estimation for multidimensional sdes;Giles,2013

4. Multilevel monte carlo methods for applications in finance;Giles;Recent Developments in Computational Finance: Foundations, Algorithms and Applications,2013

5. Multilevel richardson–romberg extrapolation;Lemaire;Bernoulli,2017

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Noise Effect on Forecasting;2023 31st Signal Processing and Communications Applications Conference (SIU);2023-07-05

2. Monte Carlo simulation in risk assessment in mathematical generation of long data;MATEC Web of Conferences;2023

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