The Java applet for pricing Asian options under Heston’s model using the new Ninomiya weak approximation scheme and quasi-Monte Carlo

Abstract: This study is based on a new weak-approximation scheme for stochastic differential equations applied to the Heston stochastic volatility model. The scheme was published by Ninomiya and Ninomiya (2008) and is an extension of Kusuoka’s approximation scheme. Ninomiya’s algorithm decomposes Kusuoka’s stochastic model into a set of ordinary differential equations with random coefficients and suggests several numerical optimisations for faster calculation. The subject of this paper is a Java applet which calculates the price of an Asian option under the Heston model.