Abstract
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.
Acknowledgement
This research was partially supported by the Japanese Ministry of Education, Science, Sports and Culture, Grant‐in‐Aid for Scientific Research (C), 15540110, 2003.