Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach (Q5270095): Difference between revisions

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Latest revision as of 00:00, 14 July 2024

scientific article; zbMATH DE number 6734504
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English
Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach
scientific article; zbMATH DE number 6734504

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    Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach (English)
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    22 June 2017
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    martingales
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    diffusions
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    functional convex order
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    dynamic programming
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    stochastic differential equations
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    functional limit theorems
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    Euler schemes
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    mathematical finance
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