Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities-Reference-Cited by-同舟云学术

Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities

Published:2024-05-03 Issue:3 Volume:46 Page:A1514-A1548
ISSN:1064-8275
Container-title:SIAM Journal on Scientific Computing
language:en
Short-container-title:SIAM J. Sci. Comput.

Author:

Bayer Christian¹,Ben Hammouda Chiheb²^ORCID,Tempone Raúl³

Affiliation:

1. Weierstrass Institute for Applied Analysis and Stochastics (WIAS), 10117 Berlin, Germany.

2. Mathematical Institute, Utrecht University, 3508 TC Utrecht, The Netherlands.

3. King Abdullah University of Science and Technology (KAUST), Computer, Electrical and Mathematical Sciences & Engineering Division (CEMSE), Thuwal 23955, Kingdom of Saudi Arabia, and Alexander von Humboldt Professor in Mathematics for Uncertainty Quantification, RWTH Aachen University, 52062 Aachen, Germany.

Funder

Deutsche Forschungsgemeinschaft

King Abdullah University of Science and Technology

Alexander von Humboldt-Stiftung

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference37 articles.

1. Conditional Sampling for Barrier Option Pricing under the LT Method

2. Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts

3. On irregular functionals of SDEs and the Euler scheme

4. Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

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