Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).
Multilevel Monte Carlo methods
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abstract
The author's presentation of multilevel Monte Carlo path simulation at the MCQMC 2006 conference stimulated a lot of research into multilevel Monte Carlo methods. This paper reviews the progress since then, emphasising the simplicity, flexibility and generality of the multilevel Monte Carlo approach. It also offers a few original ideas and suggests areas for future research.
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quant-ph 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
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Quantum Derivative Pricing for SPDEs via BDSDE Representation
Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).