Hi Frank,
I'm pretty new to these discretization schemes, however there seems to be quite a few implemented within the hestonprocess class.
I'm not too sure whether these discretization schemes are spcific to the heston process only, or whether these can be factored out into their own classes and used elsewhere...
Thoughts anyone...
Toy out.
> Date: Mon, 5 Nov 2007 10:52:37 +0100
> From:
[hidden email]> To:
[hidden email]> Subject: [Quantlib-dev] Implementation of Milstein discretization scheme
>
> Is there any suggestion how to implement a Milstein scheme? The main difference between Euler and Milstein discretization is that for, e.g., a geometric Brownian motion it incorporates a drift correction which involves the realization of the standard normal variate which also applies to the corresponding diffusion part. One would have to pass a dw parameter to the discretization itself. In the multidimensional case one would have to pass off-diagonal terms as well (see Peter Jäckel's book on 'Monte Carlo Methods in Finance'). Predictor-corrector mechanisms seem 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/go/browser
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Splunk Inc.
> Still grepping through log files to find problems? Stop.
> Now Search log events and configuration files using AJAX and a browser.
> Download your FREE copy of Splunk now >> http://get.splunk.com/
> _______________________________________________
> QuantLib-dev mailing list
>
[hidden email]> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Do you know a place like the back of your hand? Share local knowledge with
BackOfMyHand.com
-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems? Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>
http://get.splunk.com/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
