Weak approximation of stochastic differential equations and application to derivative pricing

Applied Mathematical Finance

Volumn 15, Issue 2, 2008, Pages 107-121

  Ninomiya, Syoiti ^a   Victoir, Nicolas ^b  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

^b Applied Mathematics Mathematical Institute   (United Kingdom)

Author keywords

Heston model; Mathematical finance; Numerical methods for stochastic differential equations; Quasi Monte Carlo method

Indexed keywords

EID: 40849085475     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860701413958     Document Type: Article

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