A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems
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. (C) 2002 IMACS. Published by Elsevier Science B.V. All rights reserved.
mathematical finance monte carlo method numerical integration stochastic differential equations simulation of diffusion processes