Derivative-free weak approximation methods for stochastic differential equations in finance (Q2849677)
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scientific article; zbMATH DE number 6210934
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| English | Derivative-free weak approximation methods for stochastic differential equations in finance |
scientific article; zbMATH DE number 6210934 |
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Derivative-free weak approximation methods for stochastic differential equations in finance (English)
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24 September 2013
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SRK methods
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second-order weak approximation
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general multi-dimensional SDEs
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drift-implicit SRK method
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continuous SRK method
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Monte Carlo simulations
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approximation methods
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0.8256667256355286
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0.7918533086776733
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0.7918475866317749
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