Ahmed Kebaier

activity

20062026

most citedStatistical Romberg extrapolation: A new variance reduction method and applications to option pricing

87 citations · 148 across the 20 of their papers we have counts for

collaborators

Showing 2020 · math.PRShow all

1 paper · 2 filters

math.PR2020★ 2 cited

Central Limit Theorem for the $σ$ -antithetic multilevel Monte Carlo method

Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo

In this paper, we introduce the $σ$ -antithetic multilevel Monte Carlo (MLMC) estimator for a multi-dimensional diffusion which is an extended version of the original antithetic MLM…

Central Limit Theorem for the σ-antithetic multilevel Monte Carlo method

Central Limit Theorem for the $σ$ -antithetic multilevel Monte Carlo method