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A New Simulation Method of Diffusion Processes Applied to Finance

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Shigeo Kusuoka

    (Graduate School of Mathematical Sciences, The University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan)

  • Syoiti Ninomiya

    (Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, 2-12-1 Ookayama, Meguro-ku, Tokyo 152-8552, Japan)

Abstract

The authors apply a new simulation method of diffusion processes to finance problems and show that this new method realizes extremely fast calculation.

Suggested Citation

  • Shigeo Kusuoka & Syoiti Ninomiya, 2004. "A New Simulation Method of Diffusion Processes Applied to Finance," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 11, pages 233-253, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812702852_0011
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    Cited by:

    1. Kazuhiro Yoshikawa, 2015. "An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 185-207, May.

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