A review of efficient Multilevel Monte Carlo algorithms for derivative pricing and risk management

In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithms, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two subareas, namely, option pricing and financial risk managem...

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Detalles Bibliográficos
Autores principales: Sinha, Devang, Chakrabarty, Siddhartha P.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2023
Materias:
Mathematics
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9975692/
https://www.ncbi.nlm.nih.gov/pubmed/36875343
http://dx.doi.org/10.1016/j.mex.2023.102078

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9975692/
https://www.ncbi.nlm.nih.gov/pubmed/36875343
http://dx.doi.org/10.1016/j.mex.2023.102078

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