2 papers
math.NA2021
Multilevel Monte Carlo learning
Thomas Gerstner, Bastian Harrach, Daniel Roth +1
In this work, we study the approximation of expected values of functional quantities on the solution of a stochastic differential equation (SDE), where we replace the Monte Carlo e…
math.NA2019
Convergence of Milstein Brownian bridge Monte Carlo methods and stable Greeks calculation
Thomas Gerstner, Bastian Harrach, Daniel Roth
We consider the pricing and the sensitivity calculation of continuously monitored barrier options. Standard Monte Carlo algorithms work well for pricing these options. Therefore th…