Sökning: "Krister Janzon"

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  1. 1. Monte Carlo Path Simulation and the Multilevel Monte Carlo Method

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Krister Janzon; [2018]
    Nyckelord :Multilevel Monte Carlo; computational complexity; option pricing; path approximation; Euler–Maruyama; Milstein;

    Sammanfattning : A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). LÄS MER