Delay geometric Brownian motion in financial option valuation (Q5411907)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Delay geometric Brownian motion in financial option valuation |
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)
0 references
25 April 2014
0 references
stochastic delay differential equations
0 references
derivative pricing
0 references
Euler-Maruyama
0 references
local Lipschitz condition
0 references
strong convergence
0 references
0 references
0 references
