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