Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance (Q1000032)
From MaRDI portal
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)
0 references
4 February 2009
0 references
stochastic differential equation
0 references
Euler-Maruyama scheme
0 references
Monte Carlo simulation
0 references
reflecting Brownian motion
0 references
0 references
0 references
0 references
