On the numerical stability of simulation methods for SDEs under multiplicative noise in finance (Q5746752): Difference between revisions
From MaRDI portal
Created a new Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 00:11, 6 March 2024
scientific article; zbMATH DE number 6256468
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the numerical stability of simulation methods for SDEs under multiplicative noise in finance |
scientific article; zbMATH DE number 6256468 |
Statements
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance (English)
0 references
8 February 2014
0 references
stochastic differential equations
0 references
scenario simulation
0 references
Monte Carlo simulation
0 references
numerical stability
0 references
predictor-corrector methods
0 references
implicit methods
0 references
