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  • Search: subject:"simplified weak taylor schemes"
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random bits generators 1 simplified weak taylor schemes 1 stochastic differential equations 1
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Free 1
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Book / Working Paper 1
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Liberati, Nicola Bruti 1 Platen, Eckhard 1
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Finance Discipline Group, Business School 1
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On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
Liberati, Nicola Bruti; Platen, Eckhard - Finance Discipline Group, Business School - 2004
The purpose of this paper is to study the efficiency of simplified weak schemes for stochastic differential equations. We present a numerical comparison between weak Taylor schemes and their simplified versions. In the simplified schemes discrete random variables, instead of Gaussian ones, are...
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