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Multilevel Monte Carlo methods for applications in finance
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Multilevel Monte Carlo methods for applications in finance (2012)Multilevel Monte Carlo methods for applic…Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (2014)Antithetic multilevel Monte C…Multilevel dual approach for pricing American style derivatives (2013)Multilevel dual approach for …Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients (2011)Multilevel Monte Carlo method…A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations (2011)A multilevel Monte Carlo algo…Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction (2010)Multilevel Monte Carlo algori…On irregular functionals of SDEs and the Euler scheme (2009)On irregular functionals of S…Multilevel quasi-Monte Carlo path simulation (2009)Multilevel quasi-Monte Carlo …Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Improved Multilevel Monte Car…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…Stochastic Simulation (1987)Stochastic SimulationLévy Processes and Stochastic Calculus (2004)Stochastic Integration and Differential Equations (2005)Least-Squares Monte Carlo for Backward SDEs (2012)Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (2013)Numerical simulations and modeling for stochastic biological systems with jumps (2013)Numerical solution of stochastic differential equations (2016)Brownian Motion and Stochastic Calculus (2007)Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff (2009)Stopped diffusion processes: Boundary corrections and overshoot (2009)Multilevel Monte Carlo Approximation of Distribution Functions and Densities (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)From Rough Path Estimates to Multilevel Monte Carlo (2016)Multilevel Richardson–Romberg extrapolation (2017)Modern Bayesian Experimental Design (2024)Stochastic Finite Elements: A Spectral Approach (1991)Numerical Methods for Stochastic Computations: A Spectral Method Approach (2010)Spectral Methods for Uncertainty Quantification (2010)Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients (2013)Stochastic finite element methods for partial differential equations with random input data (2014)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)The Pricing of Options and Corporate Liabilities (1973)Connecting discrete and continuous path-dependent options (1999)Theory of rational option pricing (2005)Design of computer experiments: A review (2017)The law of the Euler scheme for stochastic differential equations (1996)Stochastic ordinary differential equations in applied and computational mathematics (2011)Mean Exit Times and the Multilevel Monte Carlo Method (2013)Scheduling Massively Parallel Multigrid for Multilevel Monte Carlo Methods (2017)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)Monte Carlo and Quasi-Monte Carlo Methods (2013)Unbiased Estimation with Square Root Convergence for SDE Models (2015)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Impulse response analysis in nonlinear multivariate models (1996)Model-Based Geostatistics (1998)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 1987Stochastic Simulation2,240 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2011Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients490 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme205 cited
  • 2014Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation109 cited
  • 2010Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction98 cited
  • 2009Multilevel quasi-Monte Carlo path simulation92 cited
  • 2009On irregular functionals of SDEs and the Euler scheme85 cited
  • 2011A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations59 cited
  • 2013Multilevel dual approach for pricing American style derivatives41 cited

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