{"id":"https://openalex.org/W2263098620","doi":"https://doi.org/10.1080/00207160.2015.1077236","title":"An introduction to multilevel Monte Carlo for option valuation","display_name":"An introduction to multilevel Monte Carlo for option valuation","publication_year":2015,"publication_date":"2015-08-26","ids":{"openalex":"https://openalex.org/W2263098620","doi":"https://doi.org/10.1080/00207160.2015.1077236","mag":"2263098620"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2015.1077236","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2015.1077236","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://www.research.ed.ac.uk/en/publications/b3f2ec37-f579-4dfe-a9de-ee46be5759c1","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058486589","display_name":"Desmond J. Higham","orcid":"https://orcid.org/0000-0002-6635-3461"},"institutions":[{"id":"https://openalex.org/I181647926","display_name":"University of Strathclyde","ror":"https://ror.org/00n3w3b69","country_code":"GB","type":"education","lineage":["https://openalex.org/I181647926"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Desmond J. Higham","raw_affiliation_strings":["Department of Mathematics and Statistics, University of Strathclyde, Glasgow, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Statistics, University of Strathclyde, Glasgow, UK","institution_ids":["https://openalex.org/I181647926"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5058486589"],"corresponding_institution_ids":["https://openalex.org/I181647926"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.16382932,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"92","issue":"12","first_page":"2347","last_page":"2360"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9631999731063843,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.934499979019165,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.8455156087875366},{"id":"https://openalex.org/keywords/hybrid-monte-carlo","display_name":"Hybrid Monte Carlo","score":0.5989640951156616},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5642663836479187},{"id":"https://openalex.org/keywords/monte-carlo-molecular-modeling","display_name":"Monte Carlo molecular modeling","score":0.5293667316436768},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.5256929397583008},{"id":"https://openalex.org/keywords/monte-carlo-method-in-statistical-physics","display_name":"Monte Carlo method in statistical physics","score":0.5101094841957092},{"id":"https://openalex.org/keywords/dynamic-monte-carlo-method","display_name":"Dynamic Monte Carlo method","score":0.48533573746681213},{"id":"https://openalex.org/keywords/quasi-monte-carlo-method","display_name":"Quasi-Monte Carlo method","score":0.47190505266189575},{"id":"https://openalex.org/keywords/monte-carlo-integration","display_name":"Monte Carlo integration","score":0.4317336976528168},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.43024227023124695},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.4139222204685211},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.40485140681266785},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.40180033445358276},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3691371977329254},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2884773015975952},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12668681144714355},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.11131441593170166},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.07157662510871887},{"id":"https://openalex.org/keywords/accounting","display_name":"Accounting","score":0.05892297625541687}],"concepts":[{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.8455156087875366},{"id":"https://openalex.org/C13153151","wikidata":"https://www.wikidata.org/wiki/Q1639846","display_name":"Hybrid Monte Carlo","level":4,"score":0.5989640951156616},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5642663836479187},{"id":"https://openalex.org/C37669827","wikidata":"https://www.wikidata.org/wiki/Q6904703","display_name":"Monte Carlo molecular modeling","level":4,"score":0.5293667316436768},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5256929397583008},{"id":"https://openalex.org/C204493344","wikidata":"https://www.wikidata.org/wiki/Q6904698","display_name":"Monte Carlo method in statistical physics","level":5,"score":0.5101094841957092},{"id":"https://openalex.org/C122592724","wikidata":"https://www.wikidata.org/wiki/Q3855635","display_name":"Dynamic Monte Carlo method","level":3,"score":0.48533573746681213},{"id":"https://openalex.org/C63320529","wikidata":"https://www.wikidata.org/wiki/Q7269435","display_name":"Quasi-Monte Carlo method","level":5,"score":0.47190505266189575},{"id":"https://openalex.org/C132725507","wikidata":"https://www.wikidata.org/wiki/Q39879","display_name":"Monte Carlo integration","level":5,"score":0.4317336976528168},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.43024227023124695},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.4139222204685211},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.40485140681266785},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.40180033445358276},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3691371977329254},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2884773015975952},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12668681144714355},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.11131441593170166},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.07157662510871887},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.05892297625541687},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":9,"locations":[{"id":"doi:10.1080/00207160.2015.1077236","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2015.1077236","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:pure.ed.ac.uk:openaire/b3f2ec37-f579-4dfe-a9de-ee46be5759c1","is_oa":true,"landing_page_url":"https://www.research.ed.ac.uk/en/publications/b3f2ec37-f579-4dfe-a9de-ee46be5759c1","pdf_url":null,"source":{"id":"https://openalex.org/S4406922455","display_name":"Edinburgh Research Explorer","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Higham, D J 2015, 'An introduction to multilevel Monte Carlo for option valuation', International Journal of Computer Mathematics, vol. 92, no. 12, pp. 2347-2360. https://doi.org/10.1080/00207160.2015.1077236","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:strathprints.strath.ac.uk:55873","is_oa":false,"landing_page_url":"https://strathprints.strath.ac.uk/view/author/75132.html>","pdf_url":null,"source":{"id":"https://openalex.org/S4306402226","display_name":"Strathprints: The University of Strathclyde institutional repository (University of Strathclyde)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I181647926","host_organization_name":"University of Strathclyde","host_organization_lineage":["https://openalex.org/I181647926"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:arXiv.org:1505.00965","is_oa":true,"landing_page_url":"https://arxiv.org/abs/1505.00965","pdf_url":"https://arxiv.org/pdf/1505.00965","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"mag:2263098620","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1505.00965.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3121410833","is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:arx:papers:1505.00965","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:1505.00965","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:pure.ed.ac.uk:publications/b3f2ec37-f579-4dfe-a9de-ee46be5759c1","is_oa":true,"landing_page_url":"http://www.tandfonline.com/loi/gcom","pdf_url":null,"source":{"id":"https://openalex.org/S4406922455","display_name":"Edinburgh Research Explorer","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Higham, D J 2015, 'An introduction to multilevel Monte Carlo for option valuation', International Journal of Computer Mathematics, vol. 92, no. 12, pp. 2347-2360. https://doi.org/10.1080/00207160.2015.1077236","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"doi:10.48550/arxiv.1505.00965","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1505.00965","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:pure.ed.ac.uk:openaire/b3f2ec37-f579-4dfe-a9de-ee46be5759c1","is_oa":true,"landing_page_url":"https://www.research.ed.ac.uk/en/publications/b3f2ec37-f579-4dfe-a9de-ee46be5759c1","pdf_url":null,"source":{"id":"https://openalex.org/S4406922455","display_name":"Edinburgh Research Explorer","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Higham, D J 2015, 'An introduction to multilevel Monte Carlo for option valuation', International Journal of Computer Mathematics, vol. 92, no. 12, pp. 2347-2360. https://doi.org/10.1080/00207160.2015.1077236","raw_type":"info:eu-repo/semantics/publishedVersion"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1219635893","display_name":null,"funder_award_id":"EP/M00158X/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G4629211414","display_name":"Data Analytics for Future Cities","funder_award_id":"EP/M00158X/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"}],"funders":[{"id":"https://openalex.org/F4320320006","display_name":"Royal Society","ror":"https://ror.org/03wnrjx87"},{"id":"https://openalex.org/F4320334627","display_name":"Engineering and Physical Sciences Research Council","ror":"https://ror.org/0439y7842"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":46,"referenced_works":["https://openalex.org/W12595409","https://openalex.org/W43885757","https://openalex.org/W84393738","https://openalex.org/W164361892","https://openalex.org/W172199632","https://openalex.org/W586654553","https://openalex.org/W1543358791","https://openalex.org/W1548426124","https://openalex.org/W1575104486","https://openalex.org/W1582512274","https://openalex.org/W1587029759","https://openalex.org/W1602773783","https://openalex.org/W1978275259","https://openalex.org/W1985093013","https://openalex.org/W1995290527","https://openalex.org/W2003530131","https://openalex.org/W2004973016","https://openalex.org/W2006367766","https://openalex.org/W2023446392","https://openalex.org/W2024591553","https://openalex.org/W2030607685","https://openalex.org/W2036737833","https://openalex.org/W2039393861","https://openalex.org/W2050083387","https://openalex.org/W2076544308","https://openalex.org/W2088070062","https://openalex.org/W2117358914","https://openalex.org/W2120301464","https://openalex.org/W2137275615","https://openalex.org/W2137519698","https://openalex.org/W2152573633","https://openalex.org/W2163715525","https://openalex.org/W2164947498","https://openalex.org/W2499146568","https://openalex.org/W2949490749","https://openalex.org/W2951662467","https://openalex.org/W2951936220","https://openalex.org/W2963996180","https://openalex.org/W3105063129","https://openalex.org/W3124776929","https://openalex.org/W3125856767","https://openalex.org/W3145167355","https://openalex.org/W3208083106","https://openalex.org/W4211205196","https://openalex.org/W4292691288","https://openalex.org/W4302126367"],"related_works":["https://openalex.org/W2964220983","https://openalex.org/W2275145915","https://openalex.org/W2504602870","https://openalex.org/W2296766468","https://openalex.org/W590971457","https://openalex.org/W36302674","https://openalex.org/W2080686387","https://openalex.org/W2530838082","https://openalex.org/W2608276513","https://openalex.org/W2893310512","https://openalex.org/W2785230327","https://openalex.org/W2126074157","https://openalex.org/W338133905","https://openalex.org/W2511365001","https://openalex.org/W99935130","https://openalex.org/W1518203200","https://openalex.org/W111377361","https://openalex.org/W2989825406","https://openalex.org/W134924403","https://openalex.org/W2228579993"],"abstract_inverted_index":{"Monte":[0,60,64,139],"Carlo":[1,65,140],"is":[2,9,19,75],"a":[3,32,37,45,54,68,102,107,133],"simple":[4],"and":[5,57,106,141],"flexible":[6],"tool":[7],"that":[8],"widely":[10],"used":[11],"in":[12],"computational":[13],"finance.":[14],"In":[15,41,128],"this":[16,129],"context,":[17],"it":[18],"common":[20],"for":[21],"the":[22,28,49,76,125,147],"quantity":[23],"of":[24,31,51,71,90,104,109,116,149],"interest":[25],"to":[26,48,120,137,146],"be":[27],"expected":[29],"value":[30],"random":[33],"variable":[34],"defined":[35],"via":[36],"stochastic":[38],"differential":[39],"equation.":[40],"2008,":[42],"Giles":[43],"proposed":[44],"remarkable":[46],"improvement":[47],"approach":[50],"discretizing":[52],"with":[53],"numerical":[55],"method":[56,66],"applying":[58],"standard":[59],"Carlo.":[61],"His":[62],"multilevel":[63,138],"offers":[67],"speed":[69],"up":[70],"O(\u03f5\u22121),":[72],"where":[73],"\u03b5":[74],"required":[77],"accuracy.":[78],"So":[79],"computations":[80],"can":[81],"run":[82],"100":[83],"times":[84],"more":[85],"quickly":[86],"when":[87],"two":[88],"digits":[89],"accuracy":[91],"are":[92],"required.":[93],"The":[94],"\u2018multilevel":[95],"philosophy\u2019":[96],"has":[97,113],"since":[98],"been":[99],"adopted":[100],"by":[101],"range":[103],"researchers":[105],"wealth":[108],"practically":[110],"significant":[111],"results":[112,144],"arisen,":[114],"most":[115],"which":[117],"have":[118],"yet":[119],"make":[121],"their":[122],"way":[123],"into":[124],"expository":[126],"literature.":[127],"work,":[130],"we":[131],"give":[132],"brief,":[134],"accessible,":[135],"introduction":[136],"summarize":[142],"recent":[143],"applicable":[145],"task":[148],"option":[150],"evaluation.":[151]},"counts_by_year":[],"updated_date":"2026-07-03T08:13:44.112507","created_date":"2025-10-10T00:00:00"}
