Delay geometric Brownian motion in financial option valuation (Q5411907): Difference between revisions
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Revision as of 21:58, 19 March 2024
scientific article; zbMATH DE number 6288397
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Delay geometric Brownian motion in financial option valuation |
scientific article; zbMATH DE number 6288397 |
Statements
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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