Multilevel Monte-Carlo Simulation Applied to Levy Driven Assets

Inspired by recent advances in the application of the Multilevel Monte-Carlo (MLMC) approach to L evy driven assets, we bene t this method to price European and Asian options for the Merton jumpdi usion model. Recently, Belomestny and Nagapetyan have introduced the weak MLMC scheme which allow us to use weak approximation methods with the MLMC algorithm. Our contribution in this work is to extend their result to Lp( ); p 2, spaces. Additionally, we use weak Euler scheme to numerically estimate the asset and apply weak MLMC method to price the option.