Computable error bounds of multidimensional Euler inversion and their financial applications (Q2102846)
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scientific article; zbMATH DE number 7631942
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| English | Computable error bounds of multidimensional Euler inversion and their financial applications |
scientific article; zbMATH DE number 7631942 |
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Computable error bounds of multidimensional Euler inversion and their financial applications (English)
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12 December 2022
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multidimensional Euler inversion
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truncation error
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discretization error
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joint probability of default
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barrier option
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0.8387343883514404
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0.8278663754463196
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0.7729849219322205
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0.7611652612686157
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