Essays about: "Midpoint scheme"

Found 1 essay containing the words Midpoint scheme.

  1. 1. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Nicolas Kuiper; Martin Westberg; [2023]
    Keywords : Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

    Abstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE