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
كليدواژه :
Å adaptive Monte Carlo method , large linear systems , option prieing
عنوان كنفرانس :
يازدهمين كنفرانس آمار ايران
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
