Exact Monte Carlo simulation of killed diffusions (Q5387088): Difference between revisions
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Latest revision as of 16:52, 30 December 2024
scientific article; zbMATH DE number 5275529
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact Monte Carlo simulation of killed diffusions |
scientific article; zbMATH DE number 5275529 |
Statements
Exact Monte Carlo simulation of killed diffusions (English)
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15 May 2008
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Monte Carlo simulation
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diffusions
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algorithm
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stochastic differential equation
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numerical example
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option pricing
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finance
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