Multilevel Monte Carlo path simulation

作     者：Giles, Michael B. 

作者机构：Univ Oxford Math Inst Oxford OX1 3LB England Oxford Man Inst Quantitat Finance Oxford OX1 3LB England 

出 版 物：《OPERATIONS RESEARCH》 (运筹学)

年 卷 期：2008年第56卷第3期

页      面：607-617页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：EPSRC [EP/E031455/1] Funding Source: UKRI 

主　　题：analysis of algorithms: computational complexity finance simulation: efficiency 

摘      要：We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and a Euler discretisation, the computational cost to achieve an accuracy of O(epsilon) is reduced from O(epsilon(-3)) to O(epsilon(-2)(log epsilon)(2)). The analysis is supported by numerical results showing significant computational savings.