Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance (Q1000032)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance |
scientific article |
Statements
Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance (English)
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4 February 2009
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stochastic differential equation
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Euler-Maruyama scheme
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Monte Carlo simulation
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reflecting Brownian motion
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