A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems. (Q1873069)
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scientific article
| Language | Label | Description | Also known as |
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| English | 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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