8 citations · 20 across the 25 of their papers we have counts for
4 papers · 1 filter
Multilevel Monte Carlo in Sample Average Approximation: Convergence, Complexity and Application
Devang Sinha, Siddhartha P. Chakrabarty
In this paper, we examine the Sample Average Approximation (SAA) procedure within a framework where the Monte Carlo estimator of the expectation is biased. We also introduce Multil…
Multilevel Monte Carlo and its Applications in Financial Engineering
Devang Sinha, Siddhartha P. Chakrabarty
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. W…
Multilevel Richardson-Romberg and Importance Sampling in Derivative Pricing
Devang Sinha, Siddhartha P. Chakrabarty
In this paper, we propose and analyze a novel combination of multilevel Richardson-Romberg (ML2R) and importance sampling algorithm, with the aim of reducing the overall computatio…
Pricing of average strike Asian call option using numerical PDE methods
Abhishek Kumar, Ashwin Waikos, Siddhartha P. Chakrabarty
In this paper, a standard PDE for the pricing of arithmetic average strike Asian call option is presented. A Crank-Nicolson Implicit Method and a Higher Order Compact finite differ…