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

Syoiti Ninomiya

Mathematics and Computers in Simulation (MATCOM), 2003, vol. 62, issue 3, 479-486

Abstract: 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.

Keywords: Mathematical finance; Monte Carlo method; Numerical integration; Stochastic differential equations; Simulation of diffusion processes (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:62:y:2003:i:3:p:479-486

DOI: 10.1016/S0378-4754(02)00251-3

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