![Sample our Mathematics & Statistics journals, sign in here to start your FREE access for 14 days]({"type":"image" , "src" : "/sda/5943/TOC-Subject-Sample-2021-Mathematics-Statistics.jpg"})
A new, simple algorithm of order 2 is presented to approximate weakly stochastic differential equations. It is then applied to the problem of pricing Asian options under the Heston stochastic volatility model.
2000 Mathematics Subject Classification, 65C30, 65C05.
This research was partially supported by the Japanese Ministry of Education, Science, Sports and Culture, Grant‐in‐Aid for Scientific Research (C), 15540110, 2003.
Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?
To request a reprint or corporate permissions for this article, please click on the relevant link below:
Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?
Obtain permissions instantly via Rightslink by clicking on the button below:
If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.
