Simulation of stochastic differential equation of geometric Brownian motion by quasi-Monte Carlo method and its application in prediction of total index of stock market and value at risk (Q1992174)
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scientific article; zbMATH DE number 6971496
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| English | Simulation of stochastic differential equation of geometric Brownian motion by quasi-Monte Carlo method and its application in prediction of total index of stock market and value at risk |
scientific article; zbMATH DE number 6971496 |
Statements
Simulation of stochastic differential equation of geometric Brownian motion by quasi-Monte Carlo method and its application in prediction of total index of stock market and value at risk (English)
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2 November 2018
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geometry Brownian motion
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quasi-Monte Carlo simulation
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Sobol quasi-random sequence
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value at risk
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0.8482514
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0.8396874
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0.8329299
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0.82824856
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0.8242167
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0.82309604
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0.8174008
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0.81633234
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