Pages that link to "Item:Q1873069"
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The following pages link to A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems. (Q1873069):
Displaying 8 items.
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method (Q964684) (← links)
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations (Q1762334) (← links)
- Runge-Kutta schemes for backward stochastic differential equations (Q2448693) (← links)
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (Q3502205) (← links)
- Construction of a Third-Order K-Scheme and Its Application to Financial Models (Q4607056) (← links)
- Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
- Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988) (← links)
