多层蒙特卡罗方法在金融中的应用

arXiv: Computational Finance Pub Date : 2012-12-01 DOI:10.1201/9781315372006-7

M. Giles, L. Szpruch

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引用次数: 34

摘要

自Giles引入多层蒙特卡罗路径模拟方法[18]以来，该技术在计算金融中的各种应用得到了迅速发展。本文综述了迄今为止的研究进展，强调了实现高水平方差收敛率的关键特征，并提出了未来的研究方向。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Multilevel Monte Carlo methods for applications in finance

Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future research.

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arXiv: Computational Finance

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