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Re: [Quantlib-dev] Implementation of Milstein discretization scheme
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From: Toyin A. <toy...@ho...> - 2007-11-14 13:25:39
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Hi Frank, =20 I'm pretty new to these discretization schemes, however there seems to be q= uite a few implemented within the hestonprocess class. =20 I'm not too sure whether these discretization schemes are spcific to the he= ston process only, or whether these can be factored out into their own clas= ses and used elsewhere... =20 Thoughts anyone... =20 Toy out. =20 > Date: Mon, 5 Nov 2007 10:52:37 +0100> From: fho...@gm...> To: quant= li...@li...> Subject: [Quantlib-dev] Implementation of Mi= lstein discretization scheme> > Is there any suggestion how to implement a = Milstein scheme? The main difference between Euler and Milstein discretizat= ion is that for, e.g., a geometric Brownian motion it incorporates a drift = correction which involves the realization of the standard normal variate wh= ich also applies to the corresponding diffusion part. One would have to pas= s a dw parameter to the discretization itself. In the multidimensional case= one would have to pass off-diagonal terms as well (see Peter J=E4ckel's bo= ok on 'Monte Carlo Methods in Finance'). Predictor-corrector mechanisms see= m to be covered by the already existing setup for the Euler discretization.= Any suggestions?> > Regards> Frank> -- > Ist Ihr Browser Vista-kompatibel?= Jetzt die neuesten > Browser-Versionen downloaden: http://www.gmx.net/de/g= o/browser> > --------------------------------------------------------------= -----------> This SF.net email is sponsored by: Splunk Inc.> Still grepping= through log files to find problems? Stop.> Now Search log events and confi= guration files using AJAX and a browser.> Download your FREE copy of Splunk= now >> http://get.splunk.com/> ___________________________________________= ____> QuantLib-dev mailing list> Qua...@li...> https:= //lists.sourceforge.net/lists/listinfo/quantlib-dev _________________________________________________________________ Feel like a local wherever you go. http://www.backofmyhand.com= |
