Asymptotic study of stochastic algorithms and price calculations of Parisian options. (Q3550812)
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scientific article; zbMATH DE number 5689695
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| English | Asymptotic study of stochastic algorithms and price calculations of Parisian options. |
scientific article; zbMATH DE number 5689695 |
Statements
6 April 2010
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stochastic approximation
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truncated algorithms
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central limit theorem
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Parisian options
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numerical inversion
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Laplace transform
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0.7803117632865906
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0.776458740234375
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0.771078884601593
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0.7673016786575317
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0.7595624923706055
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