Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance (Q2211897)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance |
scientific article; zbMATH DE number 7274798
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance |
scientific article; zbMATH DE number 7274798 |
Statements
Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance (English)
0 references
17 November 2020
0 references
timestepping algorithm
0 references
restricted CEV process
0 references
0 references
0.752927839756012
0 references
0.7483910918235779
0 references
0.7413607239723206
0 references
0.7402915358543396
0 references
0.7388721108436584
0 references
