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Article title NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS IN FINANCE
Authors I.Y. Kuznetsova
Section SECTION IV. MATHEMATICAL MODELING AND DATA PROCESSING
Month, Year 04, 2013 @en
Index UDC 519.216.2
DOI
Abstract This chapter is an introduction and survey of numerical solution methods for stochastic differential equations, including the Milstein method, Taylor and Runge-Kutta methods of various orders. In the article described basic definitions of theory of stochastic differential equations. It includes a review of fundamental concepts, a description of elementary numerical methods and the concepts of convergence and order for stochastic differential equation solvers. The solutions will be continuous stochastic processes that represent diffusive dynamics, a common modeling assumption for financial systems, for examples, Black–Scholes Option Pricing Model.

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Keywords Stochastic differential equations; numerical methods; convergence; order for solvers.
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