• Employed stochastic integral evaluations to deepen and enhance our understanding of market behaviors.
• Enhanced the accuracy of stochastic integral evaluations using the Euler-Maruyama method.
• Confirmed efficiency of the Euler-Maruyama method through convergence orders in geometric Brownian motion.
• Determined the mean exit time of geometric Brownian motion, yielding key insights into market behaviors.
nictra23
commented
1 year ago
• Employed stochastic integral evaluations to deepen and enhance our understanding of market behaviors. • Enhanced the accuracy of stochastic integral evaluations using the Euler-Maruyama method. • Confirmed efficiency of the Euler-Maruyama method through convergence orders in geometric Brownian motion. • Determined the mean exit time of geometric Brownian motion, yielding key insights into market behaviors.