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
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
Journal title :
Mathematics and Computers in Simulation
