Nested Multilevel Monte Carlo with Biased and Antithetic Sampling

Abdul-Lateef Haji-Ali, Jonathan Spence

We consider the problem of estimating a nested structure of two expectations taking the form $U_0=E[\max \{U_1(Y),\pi (Y)\}]$, where $U_1(Y)=E[X|Y]$. Terms of this form arise…