Acta Numerica · 2015 · 789 citations · 80 references
BusinessComputational EngineeringComputational PhysicsStochastic ModelingStochastic ProcessesMonte Carlo MethodsMonte Carlo SimulationMultilevel ModelingSimulation MethodsAccuracyAccuracy-computational Cost TradeoffMonte Carlo EstimationMultilevel Monte CarloStochastic SimulationStochastic Simulation AlgorithmsVariance CorrectionVariance Reduction Techniques
Monte Carlo methods are a very general and useful approach for the estimation of expectations arising from stochastic simulation. However, they can be computationally expensive, particularly when the cost of generating individual stochastic samples is very high, as in the case of stochastic PDEs. Multilevel Monte Carlo is a recently developed approach which greatly reduces the computational cost by performing most simulations with low accuracy at a correspondingly low cost, with relatively few simulations being performed at high accuracy and a high cost. In this article, we review the ideas behind the multilevel Monte Carlo method, and various recent generalizations and extensions, and discuss a number of applications which illustrate the flexibility and generality of the approach and the challenges in developing more efficient implementations with a faster rate of convergence of the multilevel correction variance.
80
Option pricing when underlying stock returns are discontinuous
Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text
Business, Finance, Asset Pricing +16
Some Asymptotic Theory for the Bootstrap
Peter J. Bickel, David A. Freedman · The Annals of Statistics · 1981 · 1.7K citations · Full text