On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance

Publication Type:
Conference Proceeding
Citation:
Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 2004, 3039 pp. 771 - 778
Issue Date:
2004-12-01
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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. © Springer-Verlag Berlin Heidelberg 2004.
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