PROBABILISTIC NUMERICAL APPROACH FOR PDE AND ITS APPLICATION IN THE VALUATION OF EUROPEAN OPTIONS

PROBABILISTIC NUMERICAL APPROACH FOR PDE AND ITS APPLICATION IN THE VALUATION OF EUROPEAN OPTIONS

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摘要 Presents a probabilistic numerical approach for a class of probabilistic differential equation. Application of the Brownian motion and Monte-Carlo method; Application in the valuation of European Options. Presents a probabilistic numerical approach for a class of probabilistic differential equation. Application of the Brownian motion and Monte-Carlo method; Application in the valuation of European Options.

作者 Dong-sheng Wu (Institute of Systems Science, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing 100080, China )

出处《Journal of Computational Mathematics》 SCIE EI CSCD 2001年第6期591-600,共10页 计算数学（英文）

关键词 Brownian motion probabilistic numerical solution European Options Brownian motion probabilistic numerical solution European Options

分类号 O241.5 [理学—计算数学]

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参考文献1

1Benren Zhu,Introduction of Monte-Carlo Method,Jinan: Shandong Univ. . 1990

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Journal of Computational Mathematics

2001年第6期

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PROBABILISTIC NUMERICAL APPROACH FOR PDE AND ITS APPLICATION IN THE VALUATION OF EUROPEAN OPTIONS

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