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

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  • Ninomiya, Syoiti

Abstract

We apply a new simulation scheme proposed by Kusuoka to finance problems. By using this method, we achieve 6500 times faster simulation than traditional Euler–Maruyama scheme.

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  • Ninomiya, Syoiti, 2003. "A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 62(3), pages 479-486.
    • Handle: RePEc:eee:matcom:v:62:y:2003:i:3:p:479-486
    DOI: 10.1016/S0378-4754(02)00251-3
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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. Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
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    Cited by:

    1. Mariko Ninomiya & Syoiti Ninomiya, 2009. "A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method," Finance and Stochastics, Springer, vol. 13(3), pages 415-443, September.

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