Construction of a Third-Order K-Scheme and Its Application to Financial Models (Q4607056): Difference between revisions

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Latest revision as of 12:00, 30 July 2024

scientific article; zbMATH DE number 6849042
Language Label Description Also known as
English
Construction of a Third-Order K-Scheme and Its Application to Financial Models
scientific article; zbMATH DE number 6849042

    Statements

    Construction of a Third-Order K-Scheme and Its Application to Financial Models (English)
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    12 March 2018
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    computational finance
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    stochastic differential equations
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    higher-order discretization method
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    K-scheme
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    iterated Wiener integral
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    Malliavin calculus
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    free Lie algebra
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    quasi-Monte Carlo method
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    Asian option
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    Black-Scholes model
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    Heston model
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    SABR model
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