搜索结果: 1-1 共查到“数量经济学 Multilevel Monte Carlo method”相关记录1条 . 查询时间(0.096 秒)
Multilevel Monte Carlo method for jump-diffusion SDEs
Multilevel Monte Carlo method jump-diffusion SDEs expected payoff jump rates
2011/7/4
We investigate the extension of the multilevel Monte Carlo path
simulation method to jump-diffusion SDEs. We consider models with
finite rate activity , using a jump-adapted discretisation in which ...