The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (Q356137): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / zbMATH DE Number: 6191547 / rank | |||
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Euler | |||
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Maruyama method | |||
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stochastic differential equation | |||
| Property / zbMATH Keywords: stochastic differential equation / rank | |||
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Brownian motion | |||
| Property / zbMATH Keywords: Brownian motion / rank | |||
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option value | |||
| Property / zbMATH Keywords: option value / rank | |||
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Revision as of 09:30, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model |
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The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (English)
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25 July 2013
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Euler
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Maruyama method
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stochastic differential equation
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Brownian motion
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option value
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