Rough Paths based Numerical Algorithms in Computational Finance.

Rough Paths based Numerical Algorithms in Computational Finance.

Taispeáin leaganacha eile (1)

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...

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Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Gyurkó, L, Lyons, T
Formáid:	Working paper
Teanga:	English
Foilsithe / Cruthaithe:	Oxford-Man Institute of Quantitative Finance 2008

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