Localization and exact simulation of Brownian motion-driven stochastic differential equations
Nan Chen; Zhengyu Huang
| Year of publication: |
2013
|
|---|---|
| Authors: | Chen, Nan ; Huang, Zhengyu |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 38.2013, 3, p. 591-616
|
| Subject: | Monte Carlo simulation | stochastic differential equations | option pricing | exact simulation method | localization | Stochastischer Prozess | Stochastic process | Simulation | Experiment | Analysis | Mathematical analysis | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009787357