Pricing Exotic Options Using Strong Convergence Properties

DOI10.1007/978-3-540-71992-2_103MaRDI QIDQ3618162zbMATH OpenOpenAlexFDO

Authors Klaus Schmitz Abe, Mike Giles

Publication date 31 March 2009

Published in Progress in Industrial Mathematics at ECMI 2006 (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:78a35416-5c40-4ea8-b1e3-29b63beeeb41

Mathematics Subject Classification ID

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

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(5)

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• Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method
• Simulating elliptic diffusions and orthogonal invariance

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