Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

DOI10.1080/13504860701413958zbMath1134.91524arXivmath/0605361OpenAlexW2076738050MaRDI QIDQ3502205

Nicolas Victoir, Syoiti Ninomiya

Publication date: 22 May 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0605361

zbMATH Keywords

quasi-Monte Carlo methodmathematical financeHeston modelnumerical methods for stochastic differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

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