On the numerical stability of simulation methods for SDEs under multiplicative noise in finance (Q5746752)
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scientific article; zbMATH DE number 6256468
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| English | On the numerical stability of simulation methods for SDEs under multiplicative noise in finance |
scientific article; zbMATH DE number 6256468 |
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On the numerical stability of simulation methods for SDEs under multiplicative noise in finance (English)
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8 February 2014
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stochastic differential equations
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scenario simulation
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Monte Carlo simulation
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numerical stability
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predictor-corrector methods
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implicit methods
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0.7849257588386536
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0.7843141555786133
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0.7800142765045166
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0.7707039713859558
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