Sökning: "Feynman-Kac Rep- resentation"
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1. Numerical solution for derivative models using finite difference methods and how this can be used with Monte Carlo simulation
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Derivative models often come in the form of stochastic differential equations. From these equations a partial differential equation (PDE) can be derived. By discretizing the PDE the numerical solution is obtained on a form where the value of the derivative can be seen as a probabilistic weighting of future values. LÄS MER
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