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Syoiti Ninomiya

A partial sampling method applied to the Kusuoka approximation

Keywords: stochastic differential equation, Simulation, Diffusion Process, Monte Carlo, Quasi-Monte Carlo, Numerical Integration, Finance

The Kusuoka approximation is a new simulation scheme for diffusion processes which are solutions of SDE with smooth coefficients. The author had reported that the Kusuoka approximation realizes several thousands times faster calculation of some financial derivative pricing problems than the Euler-Maruyama approximation does. In this paper, the author applied TBBA to the Kusuoka approximation and succeeded in several hundreds times faster calculation than naive Monte Carlo sampling.

Monte Carlo Methods and Applications, Walter de Gruyter

Print ISSN: 0929-9629
Volume: 9, 01/2003
Pages: 27 - 38

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