caa a22 4500 378869043 CHVBK 20180305123405.0 cr unu---uuuuu 161128e20030101xx s 000 0 eng 10.1515/156939603322587443 doi (NATIONALLICENCE)gruyter-10.1515/156939603322587443 Ninomiya Syoiti Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, 2-12-1 Ookayama, Meguro-ku, Tokyo 152-8552 JAPAN. A partial sampling method applied to the Kusuoka approximation [Elektronische Daten] [Syoiti Ninomiya] 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. Copyright 2003, Walter de Gruyter Stochastic Differential Equation nationallicence Simulation nationallicence Diffusion Process nationallicence Monte Carlo nationallicence Quasi-Monte Carlo nationallicence Numerical Integration nationallicence Finance nationallicence Monte Carlo Methods and Applications Walter de Gruyter 9/1(2003-01-01), 27-38 0929-9629 9:1<27 2003 9 mcma https://doi.org/10.1515/156939603322587443 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.1515/156939603322587443 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Ninomiya Syoiti Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, 2-12-1 Ookayama, Meguro-ku, Tokyo 152-8552 JAPAN NATIONALLICENCE 773 0- Monte Carlo Methods and Applications Walter de Gruyter 9/1(2003-01-01), 27-38 0929-9629 9:1<27 2003 9 mcma CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter