A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.

DOI10.1016/S0378-4754(02)00251-3zbMath1046.91061OpenAlexW2074605064MaRDI QIDQ1873069

Syoiti Ninomiya

Publication date: 19 May 2003

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(02)00251-3

zbMATH Keywords

numerical integrationstochastic differential equationsMonte Carlo methodmathematical financesimulation of diffusion processes

Mathematics Subject Classification ID

Related Items (8)

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing ⋮ Construction of a Third-Order K-Scheme and Its Application to Financial Models ⋮ Runge-Kutta schemes for backward stochastic differential equations ⋮ VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES ⋮ A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method ⋮ Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing ⋮ Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme

Cites Work

• Toward real-time pricing of complex financial derivatives
• Unnamed Item
• Unnamed Item

This page was built for publication: A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.