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

  • Authors:

  • Syoiti Ninomiya

  • Affiliations:

  • Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, 2-12-1 Ookayama, Meguro-ku, Tokyo 152-8550, Japan

  • Venue:
  • Mathematics and Computers in Simulation - Special issue: 3rd IMACS seminar on Monte Carlo methods - MCM 2001
  • Year:
  • 2003

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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.