Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation

Michael B. Giles*, Kristian Debrabant, Andreas Rößler

*Corresponding author for this work
1 Citation (Scopus)


The multilevel Monte Carlo path simulation method introduced by Giles (Operations Research, 56(3):607-617, 2008) exploits strong convergence properties to improve the computational complexity by combining simulations with different levels of resolution. In this paper we analyse its efficiency when using the Milstein discretisation; this has an improved order of strong convergence compared to the standard Euler-Maruyama method, and it is proved that this leads to an improved order of convergence of the variance of the multilevel estimator. Numerical results are also given for basket options to illustrate the relevance of the analysis.

Original languageEnglish
JournalDiscrete and Continuous Dynamical Systems - Series B
Issue number8
Pages (from-to)3881-3903
Number of pages23
Publication statusPublished - 08.2019


Dive into the research topics of 'Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation'. Together they form a unique fingerprint.

Cite this