Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance (Q1000032)
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scientific article; zbMATH DE number 5502845
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| English | Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance |
scientific article; zbMATH DE number 5502845 |
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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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0.8779657
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0.87163985
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0.8659394
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0.8655553
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0.8652352
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0.86489624
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0.86441904
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0.8599382
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0.8564243
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