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Simulation with Stochastic Differential Equations

  • Rüdiger U. Seydel

Abstract

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,

Keywords

Monte Carlo Simulation Wiener Process American Option Euler Scheme Brownian Bridge 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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