On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance

机译：关于金融中蒙特卡洛模拟的简化弱泰勒方案的效率

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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.

机译：本文的目的是研究随机微分方程的简化弱格式的效率。我们在弱泰勒方案及其简化版本之间进行了数值比较。在简化方案中，生成离散随机变量而不是高斯变量，以近似多个随机积分。我们表明，基于随机位生成器的简化方案的实现显着提高了计算速度。证明了所提方案的效率。

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来源
《International Conference on Computational Science pt.4; 20040606-20040609; Krakow; PL》|2004年|P.771-778|共8页
会议地点 Krakow(PL);Krakow(PL)
作者
Nicola Bruti Liberati; Eckhard Platen;
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University of Technology Sydney, School of Finance Economics and Department of Mathematical Sciences, PO Box 123, Broadway, NSW, 2007, Australia;

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原文格式 PDF
正文语种 eng
中图分类理论、方法;
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On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance

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