Since Giles introduced the multilevel Monte Carlo path simulation method , 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.
|Title of host publication||High-Performance Computing in Finance|
|Subtitle of host publication||Problems, Methods, and Solutions|
|Publisher||Taylor and Francis AS|
|Number of pages||51|
|Publication status||Published - 1 Jan 2018|