Lecture 2022-1 (22): Numerical Methods: Time Discretization of Stochastic Processes 2
Channel: finmath
Date: 2022-07-13

Lecture 2022-1: Session 22: Numerical Methods for Mathematical Finance: Time Discretization of Stochastic Processes 2

- Time Discretization of a Lognormal Process
  - Euler-Scheme
  - Milstein-Scheme
  - Log-Euler-Scheme
  - Exact Discretization

- Numerical Experiment