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

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摘要为概率的微分方程的一个班介绍一条概率的数字途径。Brownian运动和Monte-Carlo方法的申请；在欧洲选择的估价的申请。

DOI wjvkkgzwd7/703374

作者 Dong-sheng Wu

机构地区不详

出处《计算数学：英文版》 2001年6期

关键词 BROWNIAN motion PROBABILISTIC numerical solution EUROPEAN

分类 [理学][计算数学]

出版日期 2001年06月16日（中国期刊网平台首次上网日期，不代表论文的发表时间）

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来源期刊

计算数学：英文版

计算数学：英文版

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BROWNIAN motion PROBABILISTIC numerical solution EUROPEAN

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