A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.
type: Item
instance of: scholarly article
title: A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.
zbMATH Open document ID: 1046.91061
DOI: 10.1016/S0378-4754(02)00251-3
author: Syoiti Ninomiya
published in: Mathematics and Computers in Simulation
publication date: 2003-05-19T00:00:00Z
review text: Applying the Kusuoka approximation to derivative pricing problems, the number of dimensions required for the simulation of diffusion processes can drascically reduced. A several thousands times faster calculation than the traditional Euler-Maruyama scheme can be achieved.
reviewed by: Klaus Ehemann
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 68U20
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 1912354
zbMATH Keywords: mathematical finance
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: numerical integration
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: simulation of diffusion processes
MaRDI profile type: Publication
cites work: Q4535130
cites work: Q4003879
cites work: Toward real-time pricing of complex financial derivatives
full work available at URL: s0378-4754(02)00251-3
OpenAlex ID: W2074605064
Recommended article: Q5486567
Recommended article: Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
Recommended article: Diffusion approximation of Lévy processes with a view towards finance
Recommended article: A new method for solving Kolmogorov equations in mathematical finance
Recommended article: Generalized hyperbolic diffusion processes with applications in finance
Recommended article: Simulation of Lévy-driven models and its application in finance
Recommended article: Q5399848
Recommended article: Exact simulation of jump-diffusion processes with Monte Carlo applications
description: scientific article; zbMATH DE number 1912354