Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27
We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large … concept, 1D numerical experiments confirm a high-quality strong convergence error when using large time steps, and the novel … scheme outperforms some classical numerical SDE discretizations. Some applications, here in financial option valuation, are …