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Keywords: Monte Carlo simulation
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Journal Articles
Journal:
China Finance Review International
China Finance Review International (2019) 9 (3): 312–323.
Published: 15 August 2019
... of the paper is to propose an efficient method, which is named the bias reduction method, to improve the accuracy of numerical solutions as well as reduce the complexity of Monte Carlo simulations for SDEs with affine drift specifications. SDEs of this type typically arise whenever the underlying process...
