2 citations · 3 across the 2 of their papers we have counts for
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q-fin.CP2014★ 1 cited
Multilevel Monte Carlo For Exponential Lévy Models
Mike Giles, Yuan Xia
We apply multilevel Monte Carlo for option pricing problems using exponential Lévy models with a uniform timestep discretisation to monitor the running maximum required for lookbac…
q-fin.CP2011★ 2 cited
Multilevel Monte Carlo method for jump-diffusion SDEs
Yuan Xia
We investigate the extension of the multilevel Monte Carlo path simulation method to jump-diffusion SDEs. We consider models with finite rate activity, using a jump-adapted discret…