Multilevel Monte Carlo methods for applications in finance

Abstract

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.

arXiv admin note: text overlap with arXiv:1202.6283; and with arXiv:1106.4730 by other authors