Interpolated Drift Implicit Euler MLMC Method for Barrier Option Pricing and application to CIR and CEV Models

Mouna Ben Derouich, Ahmed Kebaier

Recently, Giles et al. [14] proved that the efficiency of the Multilevel Monte Carlo (MLMC) method for evaluating Down-and-Out barrier options for a diffusion process $(X_t)_{t\in[…