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Evaluating Expectations of Functionals of Brownian Motions: a Multilevel Idea Hickernell, Fred J. Müller-Gronbach, Thomas Niu, Ben Ritter, Klaus Brownian motions multilevel option pricing worst-case error Prices of path dependent options may be modeled as expectations of functions of an infinite sequence of real variables. This talk presents recent work on bounding the error of such expectations using quasi-Monte Carlo algorithms. The expectation is approximated by an average of $n$ samples, and the functional of an infinite number of variables is approximated by a function of only $d$ variables. A multilevel algorithm employing a sum of sample averages, each with different truncated dimensions, $d_l$, and different sample sizes, $n_l$, yields faster convergence than a single level algorithm. This talk presents results in the worst-case error setting. Schloss Dagstuhl – Leibniz-Zentrum für Informatik Fred J. Hickernell and Thomas Müller-Gronbach and Ben Niu and Klaus Ritter 2009 Is Part Of Dagstuhl Seminar Proceedings, Volume 9391, Algorithms and Complexity for Continuous Problems (2009) InProceedings Text doc-type:ResearchArticle publishedVersion application/pdf doi:10.4230/DagSemProc.09391.3 urn:nbn:de:0030-drops-22987 https://drops.dagstuhl.de/entities/document/10.4230/DagSemProc.09391.3 eng https://creativecommons.org/licenses/by/4.0/legalcode