scientific article; zbMATH DE number 2059614
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Publication:4457878
Monte Carlo samplingfinancestochastic differential equationdiffusion processnumerical examplecomparison of methodsquasi-Monte Carlo methodtree based branching algorithm
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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- scientific article; zbMATH DE number 846975
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(12)- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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