# T:A:L:K:S

 close this window
 title: Multilevel Monte Carlo approach for Nonlinear Pricing Problems name: Dickmann first name: Fabian location/conference: SPP-JT14 PRESENTATION-link: http://www.dfg-spp1324.de/nuhagtools/event_NEW/dateien/SPP-JT14/slides/dickmann_fc14.pdf abstract: Primal-dual simulation methods for constructing confidence intervals on option prices have recently been extended from Bermudan option pricing to a quite general class of nonlinear pricing problems (see the talk by C. Bender). Such methods can be enhanced via the multilevel approach. If measured in terms of the root-mean-squared error $\varepsilon$, the complexity of Andersen-Broadie type algorithms for upper confidence bounds (dual problem) can be reduced to the order $\varepsilon^{-2}$, while the plain Monte Carlo implementation of these type of algorithms typically leads to a complexity between $\varepsilon^{-3}$ or even $\varepsilon^{-4}$.