Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges (Q1722530)
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scientific article; zbMATH DE number 7024272
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| English | Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges |
scientific article; zbMATH DE number 7024272 |
Statements
Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges (English)
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18 February 2019
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sampling Brownian motion
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dimension reduction
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bond pricing
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0.7863640189170837
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0.737906277179718
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0.7208995223045349
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0.718530535697937
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