Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance (Q1000032)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance |
scientific article; zbMATH DE number 5502845
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance |
scientific article; zbMATH DE number 5502845 |
Statements
Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance (English)
0 references
4 February 2009
0 references
stochastic differential equation
0 references
Euler-Maruyama scheme
0 references
Monte Carlo simulation
0 references
reflecting Brownian motion
0 references
0 references
0 references
0 references
0.8779657
0 references
0.87163985
0 references
0.8655553
0 references
0.8652352
0 references
0.86489624
0 references
0.8599382
0 references
0.8564243
0 references
