Simulation of stochastic differential equation of geometric Brownian motion by quasi-Monte Carlo method and its application in prediction of total index of stock market and value at risk
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Publication:1992174
DOI10.1007/s40096-015-0158-5zbMath1407.65009OpenAlexW1864302588WikidataQ59429463 ScholiaQ59429463MaRDI QIDQ1992174
Kianoush Fathi Vajargah, Maryam Shoghi
Publication date: 2 November 2018
Published in: Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40096-015-0158-5
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)
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