A partial sampling method applied to the Kusuoka approximation
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| 001 | 378869043 | ||
| 003 | CHVBK | ||
| 005 | 20180305123405.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 161128e20030101xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1515/156939603322587443 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.1515/156939603322587443 | ||
| 100 | 1 | |a Ninomiya |D Syoiti |u Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, 2-12-1 Ookayama, Meguro-ku, Tokyo 152-8552 JAPAN. | |
| 245 | 1 | 2 | |a A partial sampling method applied to the Kusuoka approximation |h [Elektronische Daten] |c [Syoiti Ninomiya] |
| 520 | 3 | |a The Kusuoka approximation is a new simulation scheme for diffusion processes which are solutions of SDE with smooth coefficients. The author had reported that the Kusuoka approximation realizes several thousands times faster calculation of some financial derivative pricing problems than the Euler-Maruyama approximation does. In this paper, the author applied TBBA to the Kusuoka approximation and succeeded in several hundreds times faster calculation than naive Monte Carlo sampling. | |
| 540 | |a Copyright 2003, Walter de Gruyter | ||
| 690 | 7 | |a Stochastic Differential Equation |2 nationallicence | |
| 690 | 7 | |a Simulation |2 nationallicence | |
| 690 | 7 | |a Diffusion Process |2 nationallicence | |
| 690 | 7 | |a Monte Carlo |2 nationallicence | |
| 690 | 7 | |a Quasi-Monte Carlo |2 nationallicence | |
| 690 | 7 | |a Numerical Integration |2 nationallicence | |
| 690 | 7 | |a Finance |2 nationallicence | |
| 773 | 0 | |t Monte Carlo Methods and Applications |d Walter de Gruyter |g 9/1(2003-01-01), 27-38 |x 0929-9629 |q 9:1<27 |1 2003 |2 9 |o mcma | |
| 856 | 4 | 0 | |u https://doi.org/10.1515/156939603322587443 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1515/156939603322587443 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Ninomiya |D Syoiti |u Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, 2-12-1 Ookayama, Meguro-ku, Tokyo 152-8552 JAPAN | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Monte Carlo Methods and Applications |d Walter de Gruyter |g 9/1(2003-01-01), 27-38 |x 0929-9629 |q 9:1<27 |1 2003 |2 9 |o mcma | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||