OPTION PRICING BY MULTILEVEL MONTE CARLO SIMULATION WITH NON-GEOMETRIC TIMESTEPS

Multi level Monte Carlo simulation that suggested by (M. B. Giles 2008) is an efficient method for variance reduction of estimators. He used Euler discretisation with geometric timesteps in his works. In this paper we use a method based on primary numbers to partition timesteps at each level. The numerical results show the efficiency of this method.

Keywords:

Monte Carlo simulation , Multi Level Monte Carlo , Variance Reduction Techniques , option pricing , Euler discretisation.