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Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications

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References

1981Simulation and the Monte Carlo Method2,402 cited
1985Discretization and simulation of stochastic differential equations197 cited

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2000Arbitrage-free discretization of lognormal forward Libor and swap rate models76 cited
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1988Time Discrete Taylor Approximations for Itǒ Processes with Jump Component66 cited
1991Rate of Convergence of the Euler Approximation for Diffusion Processes54 cited
1986An asymptotically efficient difference formula for solving stochastic differential equations43 cited

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