Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Michael B. Giles, Desmond J. Higham, Xuerong Mao. Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff. Finance and Stochastics, 13(3):403-413, 2009. [doi]

Authors

Michael B. Giles

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Desmond J. Higham

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Xuerong Mao

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