Essays about: "Multilevel Monte Carlo"

Showing result 1 - 5 of 9 essays containing the words Multilevel Monte Carlo.

  1. 1. Improved Statistical Methods for Elliptic Stochastic Homogenization Problems : Application of Multi Level- and Multi Index Monte Carlo on Elliptic Stochastic Homogenization Problems

    University essay from Uppsala universitet/Tillämpad beräkningsvetenskap

    Author : Khalil Daloul; [2023]
    Keywords : Homogenization; Multilevel Monte Carlo; Multi-Index Monte Carlo; Monte Carlo; Multiscale methods;

    Abstract : In numerical multiscale methods, one relies on a coupling between macroscopic model and a microscopic model. The macroscopic model does not include the microscopic properties that the microscopic model offers and that are vital for the desired solution. READ MORE

  3. 2. Pricing Put Options with Multilevel Monte Carlo Simulation

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Jonathan Schöön; [2021]
    Keywords : Multilevel Monte Carlo Simulation”; ”European Put Option Pricing” ”Stochastic Differential Equations;

    Abstract : Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. READ MORE

  4. 3. Multilevel Monte Carlo Simulation for American Option Pricing

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Sabina Colakovic; Viktor Ågren; [2021]
    Keywords : Multilevel Monte Carlo simulation; Stochastic Differential Equations; Option pricing.;

    Abstract : In this thesis, we center our research around the analytical approximation of American put options with the Multilevel Monte Carlo simulation approach. The focus lies on reducing the computational complexity of estimating an expected value arising from a stochastic differential equation. READ MORE

  5. 4. 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

  6. 5. 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