| Article ID: | iaor2009763 |
| Country: | United Kingdom |
| Volume: | 15 |
| Issue: | 2 |
| Start Page Number: | 107 |
| End Page Number: | 121 |
| Publication Date: | Apr 2008 |
| Journal: | Applied Mathematical Finance |
| Authors: | Ninomiya Syoiti, Victoir Nicolas |
| Keywords: | differential equations, stochastic processes, simulation |
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.