Rough Paths based Numerical Algorithms in Computational Finance.
The paper connects asymptotic estimations of [3] and [7] with the Rough Paths perspective ([13], [14]) to present a general framework for deriving high order, stable and tractable path-wise approximations of stochastic differential equations. The approach, which can be traced back to [17] and probab...
| المؤلفون الرئيسيون: | , |
|---|---|
| التنسيق: | Working paper |
| اللغة: | English |
| منشور في: |
Oxford-Man Institute of Quantitative Finance
2008
|