Essays about: "Krister Janzon"

Found 1 essay containing the words Krister Janzon.

  1. 1. Monte Carlo Path Simulation and the Multilevel Monte Carlo Method

    University essay from Umeå universitet/Institutionen för fysik

    Author : Krister Janzon; [2018]
    Keywords : Multilevel Monte Carlo; computational complexity; option pricing; path approximation; Euler–Maruyama; Milstein;

    Abstract : A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). READ MORE