Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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- 17 March 2008
- journal article
- research article
- Published by Taylor & Francis in Applied Mathematical Finance
- Vol. 15 (2) , 107-121
Abstract
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.Keywords
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