Journal title
Operations Research
DOI
10.1287/opre.1070.0496
Issue
3
Volume
56
Last updated
2024-02-07T05:27:00.767+00:00
Page
607-617
Abstract
We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and a Euler discretisation, the computational cost to achieve an accuracy of O(ε) is reduced from O(ε-3) to O(ε-2(logε)2). The analysis is supported, by numerical results showing significant computational savings. © 2008 INFORMS.
Symplectic ID
9277
Submitted to ORA
Off
Favourite
On
Publication type
Journal Article
Publication date
01 May 2008