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Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
Stochastic finite differences multilevel Monte Carlo class of SPDEs finance Computational Finance
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2012/4/28
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that th...
Multilevel Monte Carlo method for jump-diffusion SDEs
Multilevel Monte Carlo method jump-diffusion SDEs expected payoff jump rates
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2011/7/4
We investigate the extension of the multilevel Monte Carlo path
simulation method to jump-diffusion SDEs. We consider models with
finite rate activity , using a jump-adapted discretisation in which ...
The computation of Greeks with multilevel Monte Carlo
Monte Carlo pathwise sensitivities Likelihood Ratio Method
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2011/3/23
We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduces the payoff's smoot...