Ninomiya, Syoiti; Victoir, Nicolas - In: Applied Mathematical Finance 15 (2008) 2, pp. 107-121
A new, simple algorithm of order 2 is presented to approximate weakly stochastic differential equations. It is then applied to the problem of pricing Asian options under the Heston stochastic volatility model. 2000 Mathematics Subject Classification, 65C30, 65C05.