Simulation with Stochastic Differential Equations

Rüdiger U. Seydel ()
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Rüdiger U. Seydel: University of Köln, Institute of Mathematics

A chapter in Tools for Computational Finance, 2006, pp 91-121 from Springer

Abstract: 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 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-27926-6_3

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DOI: 10.1007/3-540-27926-1_3

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