Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
A new, simple algorithm of order 2 is presented to approximate weakly stochastic differential equations. It is then applied to the problem of pricing Asian options under the Heston stochastic volatility model. 2000 Mathematics Subject Classification, 65C30, 65C05.
Volume (Year): 15 (2008)
Issue (Month): 2 ()
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