A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method

DOI10.1007/s00780-009-0101-4zbMath1199.65011arXiv0709.2434OpenAlexW2070366559MaRDI QIDQ964684

Mariko Ninomiya, Syoiti Ninomiya

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.2434

zbMATH Keywords

algorithmfree Lie algebrastochastic differential equationsRunge-Kutta methodweak approximationnumerical experimentmathematical financeHeston stochastic volatility modelpricing Asian options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Identities, free Lie (super)algebras (17B01) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)

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