%0 Journal Article
%T A new approach to unbiased estimation for SDE's
%A Chang-han Rhee
%A Peter W. Glynn
%J Quantitative Finance
%D 2012
%I arXiv
%X In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomization idea is closely related to multi-level Monte Carlo and provides a simple mechanism for constructing a finite variance unbiased estimator with "square root convergence rate" whenever one has available a scheme that produces strong error of order greater than 1/2 for the path functional under consideration.
%U http://arxiv.org/abs/1207.2452v1