Highly nonlinear model in finance and convergence of Monte Carlo simulations
type: Item
instance of: scholarly article
title: Highly nonlinear model in finance and convergence of Monte Carlo simulations
zbMATH Open document ID: 1160.91350
author: Shuenn-Ren Cheng
published in: Journal of Mathematical Analysis and Applications
publication date: 2009-05-13T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 5553634
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: convergence in probability
zbMATH Keywords: Euler-Maruyama method
zbMATH Keywords: Monte Carlo simulation
MaRDI profile type: Publication
full work available at URL: j.jmaa.2008.12.028
OpenAlex ID: W2034279560
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DOI: 10.1016/J.JMAA.2008.12.028
description: scientific article; zbMATH DE number 5553634