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

DOI10.1016/S0378-4754(02)00251-3zbMath1046.91061OpenAlexW2074605064MaRDI QIDQ1873069

Syoiti Ninomiya

Publication date: 19 May 2003

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(02)00251-3

zbMATH Keywords

numerical integrationstochastic differential equationsMonte Carlo methodmathematical financesimulation of diffusion processes

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99)

Related Items (8)

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing ⋮ Construction of a Third-Order K-Scheme and Its Application to Financial Models ⋮ Runge-Kutta schemes for backward stochastic differential equations ⋮ VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES ⋮ A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method ⋮ Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing ⋮ Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme

Cites Work

• Toward real-time pricing of complex financial derivatives
• Unnamed Item
• Unnamed Item

This page was built for publication: A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.