On the simulation of iterated Itô integrals
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- P. E. Kloeden & Eckhard Platen & I. W. Wright, 1992. "The approximation of multiple stochastic integrals," Published Paper Series 1992-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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- Lay Harold A. & Colgin Zane & Reshniak Viktor & Khaliq Abdul Q. M., 2018. "On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters," Monte Carlo Methods and Applications, De Gruyter, vol. 24(4), pages 309-321, December.
- de la Cruz, H., 2020. "Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
- Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
- Malham, Simon J.A. & Wiese, Anke, 2014. "Efficient almost-exact Lévy area sampling," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 50-55.
- del Baño Rollin, Sebastian & Ferreiro-Castilla, Albert & Utzet, Frederic, 2010. "On the density of log-spot in the Heston volatility model," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 2037-2063, September.
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Keywords
Iterated Ito integral Infinitely divisible distribution Multi-dimensional stochastic differential equation Numerical approximation Class G distribution Variance mixture Coupling;Statistics
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