A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems

We apply a new simulation scheme proposed by Kusuoka to finance problems. By using this method, we achieve 6500 times faster simulation than traditional Euler–Maruyama scheme.

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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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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010748452