شماره ركورد كنفرانس
3140
عنوان مقاله
Adaptive Monte Carlo method for linear systems with applications to mathematical finance
عنوان به زبان ديگر
Adaptive Monte Carlo method for linear systems with applications to mathematical finance
پديدآورندگان
Farnoosh Rahman نويسنده School of Mathematics - Iran University of Science and Technology - Tehran , Aalaei Mahbouheh نويسنده School of Mathematics - Iran University of Science and Technology - Tehran
تعداد صفحه
6
كليدواژه
Å adaptive Monte Carlo method , large linear systems , option prieing
سال انتشار
1391
عنوان كنفرانس
يازدهمين كنفرانس آمار ايران
زبان مدرك
فارسی
چكيده لاتين
In this paper, an adaptive Monte Carlo method is discussed for linear systems which has simple structure, low cost and desirable speed and accuracy. To confirm the accuracy and efficiency of the present method, it is used to solve large linear systems. Furthermore, the method is implemented to price options successfully
شماره مدرك كنفرانس
4219389
سال انتشار
1391
از صفحه
1
تا صفحه
6
سال انتشار
1391
لينک به اين مدرک