Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach (Q5270095)
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scientific article; zbMATH DE number 6734504
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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