Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance (Q2516384): Difference between revisions
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Revision as of 19:28, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance |
scientific article |
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Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance (English)
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31 July 2015
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generalized Ornstein-Uhlenbeck processes
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Lévy processes
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discrete-time approximations
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orthogonal polynomials
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Laguerre reduction series
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numerical methods
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stochastic volatility models
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contingent claim valuation
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