Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
Syoiti Ninomiya and
Nicolas Victoir
Applied Mathematical Finance, 2008, vol. 15, issue 2, 107-121
Abstract:
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.
Keywords: Heston model; numerical methods for stochastic differential equations; mathematical finance; quasi-Monte Carlo method (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121
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DOI: 10.1080/13504860701413958
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