Simulation of Stochastic Processes in Financial Modeling
نویسندگان
چکیده
This paper discusses theoretical properties, shows the performance and presents some extensions of techniques used for simulation of stochastic differential equation applied on the financial data modeling. There are realized comparisons of different approaches for discretization schemes and their performances from the simulation convergence point of view. This study shows that, depending on the applicability of stochastic modeling to various financial data, the evolution of asset price over the time can be characterized by different processes accordingly with their dynamics.
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