Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance (Q2211897): Difference between revisions
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Revision as of 06:18, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance |
scientific article |
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Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance (English)
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17 November 2020
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timestepping algorithm
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restricted CEV process
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