【摘要】 主要研究线性随机微分方程模型,为此定义It随机微积分,建立It公式.鉴于研究的重点是利用R软件进行数值模拟,所以详细讨论了过去10多年来随机微分方程数值解的研究.更多还原

【Abstract】 The key aim of this serial is to study various stochastic models in finance with emphasise on the Monte Carlo simulations with R for these models. In this paper,we will study the linear stochastic differential equation( SDE) model for the asset price. We will define the It calculus and establish the It\hat \hboxo formula. Moreover,as the Monte Carlo simulations with R is our keytopic in this serial,we will review the developments of numerical solutionsin order to highlight this very popular area in the study of SDEs.更多还原