Cubature on Wiener space (Lyons and Victoir in Proc. R. Soc. Lond. A 460(2041):169–198, 2004 ) provides a powerful alternative to Monte Carlo simulation for the integration of certain functionals on Wiener space. More specifically, and in the language of mathematical finance, cubature allows for fast computation of European option prices in generic diffusion models. We give a random walk interpretation of cubature and similar (e.g. the Ninomiya–Victoir) weak approximation schemes. By using rough path analysis, we are able to establish weak convergence for general path-dependent option prices.
Applied Mathematics and Optimization – Springer Journals
Published: Apr 1, 2013
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