Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

First Author: Giles M
Attributed to:  Development of Multilevel Monte Carlo Algorithms for Mathematical Finance funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1007/978-3-642-41095-6_16

Publication URI: http://dx.doi.org/10.1007/978-3-642-41095-6_16

Type: Book Chapter

Book Title: Monte Carlo and Quasi-Monte Carlo Methods 2012 (2013)

Page Reference: 367-384

ISBN: 978-3-642-41094-9