| The multilevel Monte Carlo path simulation method introduced by Giles (Operations Research,56(3):607-617,2008) exploits strong convergence properties to improve the computational complexity by combining simulations with different levels of resolution. Previous research has demonstrated its improved efficiency using Milstein discretisation when computing Greeks. In this paper we first analyzed the efficiency theoretically when computing Greeks for geometric Brownian motion (GBM) model, then we considered other more general models. |
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