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- Publisher
- Springer Basel
- Copyright
- © Springer Basel AG 2011
- ISBN
- 978-3-0348-0096-9
- Pages
- 121 –144
- DOI
- 10.1007/978-3-0348-0097-6_9
- Publisher site
- See Chapter on Publisher Site
Abstract
[In this article, we give a brief review of some recent results concerning the study of the Euler-Maruyama scheme and its high-order extensions. These numerical schemes are used to approximate solutions of stochastic differential equations, which enables to approximate various important quantities including solutions of partial differential equations. Some have been implemented in Premia [56]. In this article we mainly consider results about weak approximation, the most important for financial applications.]
Published: Jul 12, 2011
Keywords: Euler-Maruyama scheme; Kusuoka scheme; Milshtein scheme; weak approximations; stochastic equations.