The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
DOI10.1155/2021/4050722zbMath1486.65011OpenAlexW3217583608MaRDI QIDQ2068271
Anthony Waititu, Raphael Naryongo, Philip Ngare
Publication date: 19 January 2022
Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2021/4050722
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
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