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1. 1. An introduction to Multilevel Monte Carlo with applications to options.

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Kristofer Cronvald; [2019]
   Keywords : Multilevel Monte Carlo; Options; Mathematical finance; Simulation; Stochastic Differential Equations; Computational complexity; Strong convergence; Weak convergence; Euler-Maruyama; Milstein.;

   Abstract : A standard problem in mathematical finance is the calculation of the price of some financial derivative such as various types of options. Since there exists analytical solutions in only a few cases it will often boil down to estimating the price with Monte Carlo simulation in conjunction with some numerical discretization scheme. READ MORE