On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
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References listed on IDEAS
- Steve Heston & Guofu Zhou, 2000. "On the Rate of Convergence of Discrete-Time Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 53-75.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.
- Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney.
- Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008.
"A hardware generator of multi-point distributed random numbers for Monte Carlo simulation,"
Mathematics and Computers in Simulation (MATCOM),
Elsevier, pages 45-56.
- Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney.
- Nicola Bruti-Liberati & Eckhard Platen, 2007.
"Approximation of jump diffusions in finance and economics,"
Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.
- Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
Keywordsrandom bits generators; stochastic differential equations; simplified weak taylor schemes;
NEP fieldsThis 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)
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