A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems
Year of publication: |
2003
|
---|---|
Authors: | Ninomiya, Syoiti |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 62.2003, 3, p. 479-486
|
Publisher: |
Elsevier |
Subject: | Mathematical finance | Monte Carlo method | Numerical integration | Stochastic differential equations | Simulation of diffusion processes |
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