A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems. (Q1873069): Difference between revisions

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Latest revision as of 10:58, 30 July 2024

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A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.
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    A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems. (English)
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    19 May 2003
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    Applying the Kusuoka approximation to derivative pricing problems, the number of dimensions required for the simulation of diffusion processes can drascically reduced. A several thousands times faster calculation than the traditional Euler-Maruyama scheme can be achieved.
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    mathematical finance
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    Monte Carlo method
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    numerical integration
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    stochastic differential equations
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    simulation of diffusion processes
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