Simulation with Stochastic Differential Equations

  • Rüdiger U. Seydel


This chapter provides an introduction into the numerical integration of stochastic differential equations (SDEs). Again X t denotes a stochastic process and solution of an SDE,


Monte Carlo Simulation Wiener Process American Option Euler Scheme Brownian Bridge 
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Copyright information

© Springer 2006

Authors and Affiliations

  • Rüdiger U. Seydel
    • 1
  1. 1.Institute of MathematicsUniversity of KölnKölnGermany

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