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A partial sampling method applied to the Kusuoka approximation

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  • Ninomiya Syoiti

Abstract

The Kusuoka approximation is a new simulation scheme for diffusion processes which are solutions of SDE with smooth coefficients. The author had reported that the Kusuoka approximation realizes several thousands times faster calculation of some financial derivative pricing problems than the Euler-Maruyama approximation does. In this paper, the author applied TBBA to the Kusuoka approximation and succeeded in several hundreds times faster calculation than naive Monte Carlo sampling.

Suggested Citation

  • Ninomiya Syoiti, 2003. "A partial sampling method applied to the Kusuoka approximation," Monte Carlo Methods and Applications, De Gruyter, vol. 9(1), pages 27-38, January.
    • Handle: RePEc:bpj:mcmeap:v:9:y:2003:i:1:p:27-38:n:3
    DOI: 10.1515/156939603322587443
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    References listed on IDEAS

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    1. S. Ninomiya & S. Tezuka, 1996. "Toward real-time pricing of complex financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(1), pages 1-20.
    2. Crisan Dan & Lyons Terry, 2002. "Minimal Entropy Approximations and Optimal Algorithms," Monte Carlo Methods and Applications, De Gruyter, vol. 8(4), pages 343-356, December.
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