Optimization of estimates and comparison of their efficiency under stochastic methods and its application in financial models
Publish Year: 1402
نوع سند: مقاله ژورنالی
زبان: English
View: 121
This Paper With 15 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_AMFA-8-3_012
تاریخ نمایه سازی: 19 تیر 1402
Abstract:
In this paper, first, the stochastic differential equations are introduced as well as the definition and basic theories about Monte Carlo and quasi-Monte Carlo and Sobel and Halton sequences are expressed. Indeed, we introduce and use simulations under these methods to compare the efficiency of the solutions, which the results show that the approximation of the resulting Sobel sequence is much better than other stochastic methods. The comparison of the efficiency of random and quasi-random methods, the geometric Brownian movement and the price index of Tehran stock (equal weight and weight-value) is studied. The results show that the quasi-Monte Carlo method is better than other methods.
Keywords:
Stochastic Differential Equation , random sequence , Quasi-random sequence , (Quasi) Monte Carlo simulation
Authors
Kianoush Fathi vajargah
Department of Statistics, Islamic Azad University, North branch, Tehran, Iran,
Hamid Mottaghi Golshan
Department of Mathematics, Shahriar Branch, Islamic Azad University, Shahriar, Iran
Abbas Arjomandfar
Department of Mathematics, Yadegar-e-Imam Khomeini (RAH), Shahrerey Branch, Islamic Azad University, Tehran, Iran
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :