Exact Monte Carlo simulation of killed diffusions (Q5387088)
From MaRDI portal
scientific article; zbMATH DE number 5275529
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact Monte Carlo simulation of killed diffusions |
scientific article; zbMATH DE number 5275529 |
Statements
Exact Monte Carlo simulation of killed diffusions (English)
0 references
15 May 2008
0 references
Monte Carlo simulation
0 references
diffusions
0 references
algorithm
0 references
stochastic differential equation
0 references
numerical example
0 references
option pricing
0 references
finance
0 references
0 references
