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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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Citations: View citations in EconPapers (41)

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DOI: 10.1080/13504860701413958

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