Sökning: "Deterministic quadrature formulae"
Hittade 1 uppsats innehållade orden Deterministic quadrature formulae.
1. Deterministic Quadrature Formulae for the Black–Scholes Model
Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : There exist many numerical methods for numerical solutions of the systems of stochastic differential equations. We choose the method of deterministic quadrature formulae proposed by Müller–Gronbach, and Yaroslavtseva in 2016. The idea is to apply a simplified version of the cubature in Wiener space. LÄS MER
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