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subject:"Zinsstruktur"
~person:"Amin, Ahsan"
~person:"Filipović, Damir"
~subject:"Monte Carlo simulation"
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Discount models
Filipović, Damir
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
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2
Method of Iterated Integrals for Solution of Stochastic Integrals with Applications to Monte Carlo Simulation of Stochastic Differential Equations
Amin, Ahsan
-
2018
In this article we suggest a new method for solutions of stochastic integrals where the dynamics of the variables in integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential equations which is based on iterated integrals method...
Persistent link: https://www.econbiz.de/10012925940
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