Estimates of the computational complexity of iterative Monte Carlo algorithm based on Green's function approach1Supported by the Ministry of Education, Science and Technology of Bulgaria under grants no. MM 449/94 and I 501/95 as well as by EC under INCO-Copernicus project no. 960237 – STABLE.1
Year of publication: |
1998
|
---|---|
Authors: | Dimov, I.T. ; Gurov, T.V. |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 47.1998, 2, p. 183-199
|
Publisher: |
Elsevier |
Subject: | Monte Carlo method | Integral representation | Green's function | Ball process | Selection method |
-
Pricing American options with Mellin transforms
Frontczak, Robert, (2008)
-
On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
Frontczak, Robert, (2009)
-
Quantifying correlation uncertainty risk in credit derivatives pricing
Turfus, Colin, (2018)
- More ...
-
Gurov, T.V., (2002)
-
Dimov, I.T., (1998)
-
Green’s function Monte Carlo algorithms for elliptic problems
Dimov, I.T., (2003)
- More ...