On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
The 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.
|Date of creation:||01 Jan 2004|
|Publication status:||Published as: Bruti Liberati, N. and PLaten, E., 2004, "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance", In: Computational Science - ICCS 2004: Lecture Notes in Computer Science, 771-778.|
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