Improved Multilevel Monte Carlo Convergence using the Milstein Scheme
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/10.1007/978-3-540-74496-2_20
Publication URI: http://dx.doi.org/10.1007/978-3-540-74496-2_20
Type: Book Chapter
Book Title: Monte Carlo and Quasi-Monte Carlo Methods 2006 (2008)
Page Reference: 343-358
ISBN: 978-3-540-74495-5