Adv. Math. Econ. Volume 6, pp.69-83 (2004)

Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

Shigeo Kusuoka
Graduate School of Mathematical Sciences, The University of Tokyo, 3-8-1
Komaba, Meguro-ku, Tokyo 153-8914, Japan

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The author gives a new numerical computation method of Expectation of Diffusion Processes, which is an improvement of a results in [3].
Key Words:
mathematical finance, option pricing, Lie algebra