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...
| Autores principales: | , |
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| Formato: | Working paper |
| Lenguaje: | English |
| Publicado: |
Oxford-Man Institute of Quantitative Finance
2008
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