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Items for "SDE"

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
Functional quantization for numerics with an application to option pricing

We investigate in this paper the numerical performances of quadratic functional quantization with some applications to Finance...

Keywords: Functional quantization, Product quantizers, Romberg extrapolation, Karhunen-Love expansion, Brownian motion, SDE, Asian option, stochastic volatility, Heston model

12/2005 | Monte Carlo Methods and Applications, Walter de Gruyter