Improved Multilevel Monte Carlo Convergence using the Milstein Scheme

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/10.1007/978-3-540-74496-2_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