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A new extrapolation method for weak approximation schemes with applications

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References

1983Stochastic Differential Equations and Diffusion Processes3,836 cited
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2004Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus90 cited
2018Approximation of Expectation of Diffusion Process and Mathematical Finance90 cited
2009A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method56 cited
2000Weak approximations. A Malliavin calculus approach34 cited

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2013Semi-closed form cubature and applications to financial diffusion models21 cited

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