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Corpus ID: 16196160

A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method

@article{Ninomiya2007ANW,
title={A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method},
author={M. Ninomiya and S. Ninomiya},
journal={arXiv: Probability},
year={2007}
}

In this paper, authors successfully construct a new algorithm for the new higher order scheme of weak approximation of SDEs. The algorithm presented here is based on [1][2]. Although this algorithm shares some features with the algorithm presented by [3], algorithms themselves are completely different and the diversity is not trivial. They apply this new algorithm to the problem of pricing Asian options under the Heston stochastic volatility model and obtain encouraging results.
[1] Shigeo… Expand