Delay geometric Brownian motion in financial option valuation (Q5411907): Difference between revisions
From MaRDI portal
Latest revision as of 10:23, 8 July 2024
scientific article; zbMATH DE number 6288397
Language | Label | Description | Also known as |
---|---|---|---|
English | Delay geometric Brownian motion in financial option valuation |
scientific article; zbMATH DE number 6288397 |
Statements
Delay geometric Brownian motion in financial option valuation (English)
0 references
25 April 2014
0 references
stochastic delay differential equations
0 references
derivative pricing
0 references
Euler-Maruyama
0 references
local Lipschitz condition
0 references
strong convergence
0 references
0 references
0 references