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- W2239801360 abstract "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." @default.
- W2239801360 created "2016-06-24" @default.
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- W2239801360 date "2004-01-01" @default.
- W2239801360 modified "2023-09-27" @default.
- W2239801360 title "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance" @default.
- W2239801360 hasPublicationYear "2004" @default.
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