Numerical Analysis of Stochastic Differential Systems and its Applications in Finance

Ziyu Zheng ()
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Ziyu Zheng: University of Wisconsin-Milwaukee, Department of Mathematical Sciences

Chapter 12 in Handbook of Computational and Numerical Methods in Finance, 2004, pp 403-429 from Springer

Abstract: Abstract In this note, we provide a survey of recent results on numerical analysis of stochastic differential systems and its applications in Finance.

Keywords: Stochastic Differential Equation; Stochastic Volatility; American Option; Euler Scheme; Stochastic Volatility Model (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-8176-8180-7_12

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DOI: 10.1007/978-0-8176-8180-7_12

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