Essays about: "Deterministic quadrature formulae"

Found 1 essay containing the words Deterministic quadrature formulae.

  1. 1. Deterministic Quadrature Formulae for the Black–Scholes Model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Sajedeh Saadat; Timo Kudljakov; [2021]
    Keywords : Deterministic quadrature formulae; Stochastic differential equation; Black--Scholes model; Discretization method.;

    Abstract : 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. READ MORE