Work

Analysis of estimation accuracy of the first moments of a Monte Carlo solution to an SDE with Wiener and Poisson components

Year: 2016

Type: article

Source: Numerical Analysis and Applications

DOI: 10.1134/s1995423916010031

Authors: S. S. Artemiev, M. A. Yakunin

Institutions: Russian Academy of Sciences, Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch of the Russian Academy of Sciences

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Russian Foundation for Basic Research

OpenAlex ID: W2335728280

FWCI: 0.541

Cites: 6

Cited by: 1

Related to: 10