Derivative-free weak approximation methods for stochastic differential equations in finance (Q2849677)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Derivative-free weak approximation methods for stochastic differential equations in finance |
scientific article |
Statements
Derivative-free weak approximation methods for stochastic differential equations in finance (English)
0 references
24 September 2013
0 references
SRK methods
0 references
second-order weak approximation
0 references
general multi-dimensional SDEs
0 references
drift-implicit SRK method
0 references
continuous SRK method
0 references
Monte Carlo simulations
0 references
approximation methods
0 references