Numerical solution of stochastic differential equations in finance

Handbook of Computational Finance

Volumn , Issue , 2012, Pages 529-550

  Sauer, Timothy ^a  

^a GEORGE MASON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; FINANCE; INTELLIGENT SYSTEMS; MONTE CARLO METHODS; RANDOM PROCESSES;

CONTINUOUS STOCHASTIC PROCESS; FUNDAMENTAL CONCEPTS; MONTE CARLO SAMPLING; NUMERICAL SOLUTION; NUMERICAL SOLUTION METHOD; QUASI-RANDOM NUMBERS; STOCHASTIC DIFFERENTIAL EQUATIONS; VARIANCE REDUCTIONS;

STOCHASTIC SYSTEMS;

EID: 85011884468     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/978-3-642-17254-0_19     Document Type: Chapter

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