A partial sampling method applied to the Kusuoka approximation

Monte Carlo Methods and Applications

Volumn 9, Issue 1, 2003, Pages 27-38

  Ninomiya, Syoiti ^a  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

Diffusion process; Finance; Monte Carlo; Numerical integration; Quasi monte carlo; Simulation; Stochastic differential equation

Indexed keywords

EID: 40849150044     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1163/156939603322587443     Document Type: Article

References (7)

1. Dan Crisan and Terry Lyons. Minimal entropy approximations and optimal algorithms for the filtering problem. Monte Carlo Methods and Applications. 8, N4, 343-355, 2002.
2. Peter E. Kloeden and Eckhard Platen. Numerical Solution of Stochastic Differential Equations. Springer, 1999.
3. Shigeo Kusuoka. Approximation of expectation of diffusion process and mathematical finance. Advanced Studies in Pure Mathematics, 31:147-165, 2001.
4. Terry Lyons and Nicolas Victoir. Cubature on wiener space. Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences (to appear).
5. H. Niederreiter. Random Number Generation and Quasi-Monte Carlo Methods. SIAM, 1992.
6. Syoiti Ninomiya. A new simulation scheme of diffusion processes: Application of the kusuoka approximation to finance problems. Mathematics and Computers in Simulation (to appear), 2002.
7. Syoiti Ninomiya and Shu Tezuka. Toward real-time pricing of complex financial derivatives. Applied Mathematical Finance, 3:1-20, 1996.