Delay geometric Brownian motion in financial option valuation (Q5411907): Difference between revisions

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Latest revision as of 10:23, 8 July 2024

scientific article; zbMATH DE number 6288397
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English
Delay geometric Brownian motion in financial option valuation
scientific article; zbMATH DE number 6288397

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    Delay geometric Brownian motion in financial option valuation (English)
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    25 April 2014
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    stochastic delay differential equations
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    derivative pricing
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    Euler-Maruyama
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    local Lipschitz condition
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    strong convergence
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