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A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems
Ninomiya, Syoiti - In: Mathematics and Computers in Simulation (MATCOM) 62 (2003) 3, pp. 479-486
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.
Persistent link: https://www.econbiz.de/10010748452
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A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method
Ninomiya, Mariko; Ninomiya, Syoiti - In: Finance and Stochastics 13 (2009) 3, pp. 415-443
Persistent link: https://www.econbiz.de/10005061362