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Items for "Euler-Maruyama scheme"

Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity

We propose a multi-step Richardson-Romberg extrapolation method for the computation of expectations Ef(XT ) of a diffusion (Xt)t∈[0,T] when the weak time discretization error induced by the Euler scheme admits an expansion at an order R ≥ 2...

Keywords: SDE, Euler-Maruyama scheme, Romberg extrapolation, Vandermonde determinant, lookback option, barrier option

04/2007 | Monte Carlo Methods and Applications, Walter de Gruyter