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Latest revision as of 09:42, 5 March 2024

scientific article
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    Statements

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    25 November 2011
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    Monte Carlo simulations
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    probability
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    random variables
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    Brownian motion
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    Asset pricing
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    Black-Scholes models
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    generating random variables
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    variance reduction techniques
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    importance sampling
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    stochastic calculus
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    simulation of diffusion
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    sensitivity analysis
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    monograph
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    algorithm
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    strong law of large number
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    central limit theorem
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    financial derivatives
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    confidence intervals
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    acceptance-rejection method
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    Cholesky factorization
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    control variate method
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    antithetic sampling
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    cross-entropy method
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    stochastic integral
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    Itô formula
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    stochastic differential equations
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    diffusion process
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    Euler scheme
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    Milstein schemes
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    Lamperti transform
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    portfolio
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    stock option
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