Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: General multilevel Monte Carlo methods for pricing discretely monitored
  Asian options   We describe general multilevel Monte Carlo methods that estimate the price of
an Asian option monitored at $m$ fixed dates. Our approach yields unbiased
estimators with standard deviation $O(\epsilon)$ in $O(m + (1/\epsilon)^{2})$
expected time for a variety of processes including the Black-Scholes model,
Merton's jump-diffusion model, the Square-Root diffusion model, Kou's double
exponential jump-diffusion model, the variance gamma and NIG exponential Levy
processes and, via the Milstein scheme, processes driven by scalar stochastic
differential equations. Using the Euler scheme, our approach estimates the
Asian option price with root mean square error $O(\epsilon)$ in
$O(m+(\ln(\epsilon)/\epsilon)^{2})$ expected time for processes driven by
multidimensional stochastic differential equations. Numerical experiments
confirm that our approach outperforms the conventional Monte Carlo method by a
factor of order $m$.

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The categories of this paper are: hep-ex
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The categories of this paper are: stat
34
The categories of this paper are: chem-ph
11
The categories of this paper are: hep-lat
23
The categories of this paper are: solv-int
2
The categories of this paper are: math
22
The categories of this paper are: chao-dyn
36
The categories of this paper are: cmp-lg
28
The categories of this paper are: alg-geom
19
The categories of this paper are: eess
32
The categories of this paper are: atom-ph
35
The categories of this paper are: mtrl-th
31
The categories of this paper are: ao-sci
24
The categories of this paper are: dg-ga
13
The categories of this paper are: quant-ph
7
The categories of this paper are: hep-th