TY  - JOUR
AB  - Purpose The purpose of this paper is to revisit the numerical solutions of stochastic differential equations (SDEs). An important drawback when integrating SDEs numerically is the number of steps required to attain acceptable accuracy of convergence to the true solution.Design/methodology/approach This paper develops a bias reducing method based loosely on extrapolation.Findings The method is seen to perform acceptably well and for realistic steps sizes provides improved accuracy at no significant additional computational cost. In addition, the optimal step size of the bias reduction methods is shown to be consistent with theoretical analysis.Originality/value Overall, there is evidence to suggest that the proposed method is a viable, easy to implement competitor for other commonly used numerical schemes.
VL  - 9
IS  - 3
SN  - 2044-1398
DO  - 10.1108/CFRI-12-2018-0155
UR  - https://doi.org/10.1108/CFRI-12-2018-0155
AU  - Hurn Stan
AU  - Lindsay Kenneth A.
AU  - Xu Lina
PY  - 2019
Y1  - 2019/01/01
TI  - Revisiting the numerical solution of stochastic differential equations
T2  - China Finance Review International
PB  - Emerald Publishing Limited
SP  - 312
EP  - 323
Y2  - 2024/04/24
ER  -