Implementation of Milstein discretization scheme

Posted by Frank Hövermann on Nov 05, 2007; 9:52am
URL: http://quantlib.414.s1.nabble.com/Implementation-of-Milstein-discretization-scheme-tp9907.html

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
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