scientific article

zbMath1258.65005MaRDI QIDQ3102802

Hui Wang

Publication date: 25 November 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

monographportfolioalgorithmconfidence intervalssensitivity analysisimportance samplingBrownian motionstochastic differential equationsprobabilityrandom variablesMonte Carlo simulationsdiffusion processCholesky factorizationstochastic calculuscentral limit theoremItô formulastochastic integralEuler schemeantithetic samplingLamperti transformacceptance-rejection methodcross-entropy methodfinancial derivativesvariance reduction techniquesstrong law of large numbercontrol variate methodsimulation of diffusionAsset pricingMilstein schemesBlack-Scholes modelsstock optiongenerating random variables

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Stochastic integrals (60H05) Random number generation in numerical analysis (65C10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) General theory of distribution modulo (1) (11K06) Portfolio theory (91G10) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (3)

Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation ⋮ Minimax perfect stopping rules for selling an asset near its ultimate maximum ⋮ A Cross-Entropy Scheme for Mixtures

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