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
type: Item
instance of: scholarly article
title: 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
zbMATH Open document ID: 1407.65009
author: Kianoush Fathi Vajargah
author: Maryam Shoghi
published in: Mathematical Sciences
publication date: 2018-11-02T00:00:00Z
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6971496
zbMATH Keywords: geometry Brownian motion
zbMATH Keywords: quasi-Monte Carlo simulation
zbMATH Keywords: Sobol quasi-random sequence
zbMATH Keywords: value at risk
MaRDI profile type: Publication
full work available at URL: s40096-015-0158-5
OpenAlex ID: W1864302588
cites work: Q4003879
cites work: Q4864763
Wikidata QID: Q59429463
DOI: 10.1007/S40096-015-0158-5
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description: scientific article; zbMATH DE number 6971496