Derivative-free weak approximation methods for stochastic differential equations in finance

DOI10.1142/9789814436434_0007zbMath1275.91146OpenAlexW2492509720MaRDI QIDQ2849677

Kristian Debrabant, Andreas Rößler

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814436434_0007

zbMATH Keywords

approximation methodsMonte Carlo simulationsSRK methodscontinuous SRK methoddrift-implicit SRK methodgeneral multi-dimensional SDEssecond-order weak approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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