Title of article
A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems Original Research Article
Author/Authors
Syoiti Ninomiya، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
8
From page
479
To page
486
Abstract
We apply a new simulation scheme proposed by Kusuoka to finance problems. By using this method, we achieve 6500 times faster simulation than traditional Euler–Maruyama scheme.
Keywords
Stochastic differential equations , Simulation of diffusion processes , Monte Carlo method , Mathematical finance , Numerical integration
Journal title
Mathematics and Computers in Simulation
Serial Year
2003
Journal title
Mathematics and Computers in Simulation
Record number
854034
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