Efficient Monte Carlo simulation for integral functionals of Brownian motion (Q2442860)
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scientific article; zbMATH DE number 6276605
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Efficient Monte Carlo simulation for integral functionals of Brownian motion |
scientific article; zbMATH DE number 6276605 |
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Efficient Monte Carlo simulation for integral functionals of Brownian motion (English)
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1 April 2014
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integrals of Brownian motion
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Brownian bridge
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stratified sampling
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quasi-Monte Carlo
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Asian options
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0.9070885
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0.89922565
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0.89658046
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0.8933408
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0.89331645
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0.89155984
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0.8906241
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