The combined Monte Carlo method to calculate the capital of the optimal portfolio in nonlinear models of financial indexes
type: Item
instance of: scholarly article
title: The combined Monte Carlo method to calculate the capital of the optimal portfolio in nonlinear models of financial indexes
zbMATH Open document ID: 1325.91058
author: N. E. Zubov
publication date: 2015-11-18T00:00:00Z
full work available at URL: p1021-1034.pdf
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6510950
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: Black-Scholes formula
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
published in: Sibirskie Elektronnye Matematicheskie Izvestiya
description: scientific article; zbMATH DE number 6510950