Adaptive Monte Carlo Algorithms for Stopped Diffusion (Q5703077)
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scientific article; zbMATH DE number 2226150
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive Monte Carlo Algorithms for Stopped Diffusion |
scientific article; zbMATH DE number 2226150 |
Statements
Adaptive Monte Carlo Algorithms for Stopped Diffusion (English)
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8 November 2005
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adaptive mesh refinement algorithm
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diffusion with boundary
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barrier option
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Monte Carlo method
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weak approximation
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Monte Carlo Euler method
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Itô stochastic differential equation
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Numerical results
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