The dX(t)=Xb(X) dt+X (X) dW equation and financial mathematics. II

zbMATH Open1249.60128MaRDI QIDQ5389733FDOQ5389733

Authors: Petr Dostal, Josef Štěpán 

Publication date: 23 April 2012

Full work available at URL: https://eudml.org/doc/33674

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zbMATH Keywords

stochastic differential equationstochastic volatilitypriceEuropean call optionMonte Carlo approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)

Cites Work

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• Stochastic volatility, jumps and hidden time changes
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Cited In (2)

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