On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
AbstractThe purpose of this paper is to study the efficiency of simplified weak schemes for stochastic differential equations. We present a numerical comparison between weak Taylor schemes and their simplified versions. In the simplified schemes discrete random variables, instead of Gaussian ones, are generated to approximate multiple stochastic integrals. We show that an implementation of simplified schemes based on random bits generators significantly increases the computational speed. The efficiency of the proposed schemes is demonstrated.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 114.
Date of creation: 01 Jan 2004
Date of revision:
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random bits generators; stochastic differential equations; simplified weak taylor schemes;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-02 (All new papers)
- NEP-CMP-2004-06-02 (Computational Economics)
- NEP-FIN-2004-06-02 (Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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