A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights (Q2357445)
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scientific article; zbMATH DE number 6730444
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| English | A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights |
scientific article; zbMATH DE number 6730444 |
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A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights (English)
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13 June 2017
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weak approximation
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stochastic differential equations
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Malliavin calculus
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numerical examples
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option pricing
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0.8645316958427429
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0.8502485156059265
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0.8266562223434448
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0.818268895149231
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0.8110708594322205
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