What can I do with stiffness of numerical methods for SDE? I want to use numerical approach for solving SDE in market's scenarios generation. Is there any general approach to handle it?
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.
Sign up to join this communityWhat can I do with stiffness of numerical methods for SDE? I want to use numerical approach for solving SDE in market's scenarios generation. Is there any general approach to handle it?