Corpus ID: 838632

Efficient simulation of Lévy areas

@inproceedings{Scheicher2015EfficientSO,
  title={Efficient simulation of Lévy areas},
  author={K. Scheicher},
  year={2015}
}
Discretization methods to simulate stochastic differential equations belong to the main tools in mathematical finance. For Ito processes, there exist several Euleror Runge-Kutta-like methods which are analogues of well known approximation schemes in the non stochastic case. In the multidimensional case, there appear several difficulties, caused by the mixed second order derivatives. These mixed terms (or more precisely their differences) correspond to special random variables called Levy… Expand

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