{"id":"https://openalex.org/W2164947498","doi":"https://doi.org/10.1515/mcma-2013-0025","title":"Multilevel Monte Carlo for Asian options and limit theorems","display_name":"Multilevel Monte Carlo for Asian options and limit theorems","publication_year":2014,"publication_date":"2014-07-17","ids":{"openalex":"https://openalex.org/W2164947498","doi":"https://doi.org/10.1515/mcma-2013-0025","mag":"2164947498"},"language":"en","primary_location":{"id":"doi:10.1515/mcma-2013-0025","is_oa":false,"landing_page_url":"http://doi.org/10.1515/mcma-2013-0025","pdf_url":null,"source":{"id":"https://openalex.org/S142132501","display_name":"Monte Carlo Methods and Applications","issn_l":"0929-9629","issn":["0929-9629","1569-3961"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Monte Carlo Methods and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5020706002","display_name":"Mohamed Ben Alaya","orcid":"https://orcid.org/0009-0004-8086-8703"},"institutions":[{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I204730241","display_name":"Universit\u00e9 Paris Cit\u00e9","ror":"https://ror.org/05f82e368","country_code":"FR","type":"education","lineage":["https://openalex.org/I204730241"]},{"id":"https://openalex.org/I4210091279","display_name":"Universit\u00e9 Sorbonne Paris Nord","ror":"https://ror.org/0199hds37","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210091279"]},{"id":"https://openalex.org/I4210091437","display_name":"Sorbonne Paris Cit\u00e9","ror":"https://ror.org/001z21q04","country_code":"FR","type":"other","lineage":["https://openalex.org/I4210091437"]},{"id":"https://openalex.org/I4210102686","display_name":"Laboratoire Analyse, G\u00e9om\u00e9trie et Applications","ror":"https://ror.org/018nzqy79","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I4210091279","https://openalex.org/I4210102686","https://openalex.org/I4210141950","https://openalex.org/I48825208"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Mohamed Ben Alaya","raw_affiliation_strings":["Universit\u00e9 Paris 13, Sorbonne Paris Cit\u00e9, LAGA, CNRS (UMR 7539), 99, av. J.B. Cl\u00e9ment, 93430 Villetaneuse, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universit\u00e9 Paris 13, Sorbonne Paris Cit\u00e9, LAGA, CNRS (UMR 7539), 99, av. J.B. Cl\u00e9ment, 93430 Villetaneuse, France","institution_ids":["https://openalex.org/I204730241","https://openalex.org/I1294671590","https://openalex.org/I4210091437","https://openalex.org/I4210091279","https://openalex.org/I4210102686"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5065706818","display_name":"Ahmed Kebaier","orcid":"https://orcid.org/0000-0003-3468-8811"},"institutions":[{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I204730241","display_name":"Universit\u00e9 Paris Cit\u00e9","ror":"https://ror.org/05f82e368","country_code":"FR","type":"education","lineage":["https://openalex.org/I204730241"]},{"id":"https://openalex.org/I4210091279","display_name":"Universit\u00e9 Sorbonne Paris Nord","ror":"https://ror.org/0199hds37","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210091279"]},{"id":"https://openalex.org/I4210091437","display_name":"Sorbonne Paris Cit\u00e9","ror":"https://ror.org/001z21q04","country_code":"FR","type":"other","lineage":["https://openalex.org/I4210091437"]},{"id":"https://openalex.org/I4210102686","display_name":"Laboratoire Analyse, G\u00e9om\u00e9trie et Applications","ror":"https://ror.org/018nzqy79","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I4210091279","https://openalex.org/I4210102686","https://openalex.org/I4210141950","https://openalex.org/I48825208"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Ahmed Kebaier","raw_affiliation_strings":["Universit\u00e9 Paris 13, Sorbonne Paris Cit\u00e9, LAGA, CNRS (UMR 7539), 99, av. J.B. Cl\u00e9ment, 93430 Villetaneuse, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universit\u00e9 Paris 13, Sorbonne Paris Cit\u00e9, LAGA, CNRS (UMR 7539), 99, av. J.B. Cl\u00e9ment, 93430 Villetaneuse, France","institution_ids":["https://openalex.org/I204730241","https://openalex.org/I1294671590","https://openalex.org/I4210091437","https://openalex.org/I4210091279","https://openalex.org/I4210102686"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5020706002"],"corresponding_institution_ids":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I4210091279","https://openalex.org/I4210091437","https://openalex.org/I4210102686"],"apc_list":null,"apc_paid":null,"fwci":1.839,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.88166425,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"20","issue":"3","first_page":"181","last_page":"194"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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":0.9997000098228455,"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/T12404","display_name":"Mathematical Approximation and Integration","score":0.9980999827384949,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9839000105857849,"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/mathematics","display_name":"Mathematics","score":0.709872305393219},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.6626233458518982},{"id":"https://openalex.org/keywords/central-limit-theorem","display_name":"Central limit theorem","score":0.6400531530380249},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.6365377902984619},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6229455471038818},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.6161421537399292},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.5509110689163208},{"id":"https://openalex.org/keywords/stochastic-game","display_name":"Stochastic game","score":0.5149691700935364},{"id":"https://openalex.org/keywords/quasi-monte-carlo-method","display_name":"Quasi-Monte Carlo method","score":0.4128914475440979},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3898788094520569},{"id":"https://openalex.org/keywords/hybrid-monte-carlo","display_name":"Hybrid Monte Carlo","score":0.21906784176826477},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.21850469708442688},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.12262803316116333},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.10489079356193542},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.07561156153678894}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.709872305393219},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.6626233458518982},{"id":"https://openalex.org/C166785042","wikidata":"https://www.wikidata.org/wiki/Q190391","display_name":"Central limit theorem","level":2,"score":0.6400531530380249},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.6365377902984619},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6229455471038818},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.6161421537399292},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.5509110689163208},{"id":"https://openalex.org/C22171661","wikidata":"https://www.wikidata.org/wiki/Q1074380","display_name":"Stochastic game","level":2,"score":0.5149691700935364},{"id":"https://openalex.org/C63320529","wikidata":"https://www.wikidata.org/wiki/Q7269435","display_name":"Quasi-Monte Carlo method","level":5,"score":0.4128914475440979},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3898788094520569},{"id":"https://openalex.org/C13153151","wikidata":"https://www.wikidata.org/wiki/Q1639846","display_name":"Hybrid Monte Carlo","level":4,"score":0.21906784176826477},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.21850469708442688},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.12262803316116333},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.10489079356193542},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07561156153678894},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1515/mcma-2013-0025","is_oa":false,"landing_page_url":"http://doi.org/10.1515/mcma-2013-0025","pdf_url":null,"source":{"id":"https://openalex.org/S142132501","display_name":"Monte Carlo Methods and Applications","issn_l":"0929-9629","issn":["0929-9629","1569-3961"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Monte Carlo Methods and Applications","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:181-194:n:2","is_oa":false,"landing_page_url":"https://doi.org/10.1515/mcma-2013-0025","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":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Peace, Justice and strong institutions","id":"https://metadata.un.org/sdg/16","score":0.75}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W12401122","https://openalex.org/W1543358791","https://openalex.org/W1835030294","https://openalex.org/W1969804920","https://openalex.org/W1976675231","https://openalex.org/W2004973016","https://openalex.org/W2023446392","https://openalex.org/W2044203216","https://openalex.org/W2050871708","https://openalex.org/W2092264912","https://openalex.org/W2117358914","https://openalex.org/W2137519698","https://openalex.org/W2158728482","https://openalex.org/W2163715525","https://openalex.org/W2332250001","https://openalex.org/W2751862591","https://openalex.org/W2802739963","https://openalex.org/W3023346641","https://openalex.org/W3105063129"],"related_works":["https://openalex.org/W1697484951","https://openalex.org/W4297084911","https://openalex.org/W4298930346","https://openalex.org/W2620661725","https://openalex.org/W4226238329","https://openalex.org/W4361230184","https://openalex.org/W1970797868","https://openalex.org/W3166395799","https://openalex.org/W1971702062","https://openalex.org/W1978687634"],"abstract_inverted_index":{"Abstract":[0],"The":[1,163],"purpose":[2],"of":[3,11,39,49,57,60,86,103,130,138,145,158,165],"this":[4,143],"paper":[5],"is":[6],"to":[7,33,109,155],"study":[8],"the":[9,16,43,47,58,61,75,79,97,104,119,128,131,139,156,159,166],"problem":[10],"pricing":[12],"Asian":[13],"options":[14],"using":[15],"multilevel":[17,120,167],"Monte":[18,168],"Carlo":[19,169],"method":[20,52],"recently":[21],"introduced":[22],"by":[23],"Giles":[24],"[Oper.":[25],"Res.":[26],"56":[27],"(2008),":[28],"no.":[29],"3,":[30],"607\u2013617]":[31],"and":[32,78,112],"prove":[34,90,113],"a":[35,51,55,91,124],"central":[36,115,160],"limit":[37,116,161],"theorem":[38],"Lindeberg\u2013Feller":[40],"type":[41],"for":[42,84,96],"obtained":[44],"algorithm.":[45,105],"Indeed,":[46],"implementation":[48],"such":[50],"requires":[53],"first":[54],"discretization":[56,72],"integral":[59],"payoff":[62],"process.":[63],"For":[64,142],"this,":[65],"we":[66,89,149],"use":[67],"two":[68,100,114],"well-known":[69],"second":[70,146],"order":[71,147],"schemes,":[73,88,148],"namely,":[74],"Riemann":[76],"scheme":[77],"trapezoidal":[80],"scheme.":[81],"More":[82],"precisely,":[83],"each":[85],"these":[87],"stable":[92],"law":[93],"convergence":[94,157],"result":[95],"error":[98],"on":[99,118,127],"consecutive":[101],"levels":[102],"This":[106],"allows":[107],"us":[108,123],"go":[110],"further":[111],"theorems":[117],"algorithm":[121,170],"providing":[122],"precise":[125],"description":[126],"choice":[129],"associated":[132],"parameters":[133,153],"with":[134],"an":[135],"explicit":[136],"representation":[137],"limiting":[140],"variance.":[141],"setting":[144],"give":[150],"new":[151],"optimal":[152],"leading":[154],"theorem.":[162],"complexity":[164],"will":[171],"be":[172],"determined.":[173]},"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2016-06-24T00:00:00"}
