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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

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math.PR2022★ 1 cited

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[…