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- W2889254661 abstract "This paper discusses Monte Carlo method in three aspects: pi-approximation, an algorithm to calculate definite integral and simulation to generate financial time series. The first two calculations are based on geometric probability: to calculate the probability that the random points fall within the certain area. The third one is to transfer a stochastic differential equation into a difference equation and realize these equations on matlab to derive a time series which has the properties of the corresponding stochastic differential equation. By analyzing these time series, one can make further analysis on these data, e.g. density function. The paper shows the applicability of Monte Carlo method. The method gives practitioners accessible means of solving complicated models and is easy to operate on computers." @default.
- W2889254661 created "2018-09-07" @default.
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- W2889254661 date "2018-08-01" @default.
- W2889254661 modified "2023-09-28" @default.
- W2889254661 title "Application of Monte Carlo Method Based on Matlab: Calculation of Definite Integrals and Simulation of Heston’s Model" @default.
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- W2889254661 doi "https://doi.org/10.1088/1742-6596/1069/1/012092" @default.
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