Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

A new, simple algorithm of order 2 is presented to approximate weakly stochastic differential equations. It is then applied to the problem of pricing Asian options under the Heston stochastic volatility model. 2000 Mathematics Subject Classification, 65C30, 65C05.

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Year of publication:	2008
Authors:	Ninomiya, Syoiti ; Victoir, Nicolas
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 15.2008, 2, p. 107-121
Publisher:	Taylor & Francis Journals
Subject:	Heston model \| numerical methods for stochastic differential equations \| mathematical finance \| quasi-Monte Carlo method

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005279059