Adaptive Monte Carlo Algorithms for Stopped Diffusion (Q5703077)

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scientific article; zbMATH DE number 2226150
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Adaptive Monte Carlo Algorithms for Stopped Diffusion
scientific article; zbMATH DE number 2226150

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    Adaptive Monte Carlo Algorithms for Stopped Diffusion (English)
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    8 November 2005
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    adaptive mesh refinement algorithm
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    diffusion with boundary
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    barrier option
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    Monte Carlo method
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    weak approximation
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    Monte Carlo Euler method
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    Itô stochastic differential equation
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    Numerical results
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