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]
@article{GilesHM09,
title = {Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff},
author = {Michael B. Giles and Desmond J. Higham and Xuerong Mao},
year = {2009},
doi = {10.1007/s00780-009-0092-1},
url = {http://dx.doi.org/10.1007/s00780-009-0092-1},
researchr = {https://researchr.org/publication/GilesHM09},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {13},
number = {3},
pages = {403-413},
}