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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2023
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| 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 |