Robust willow tree method under Lévy processes (Q6098950)
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scientific article; zbMATH DE number 7697406
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Robust willow tree method under Lévy processes |
scientific article; zbMATH DE number 7697406 |
Statements
Robust willow tree method under Lévy processes (English)
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19 June 2023
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option pricing
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willow tree
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Lévy process
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characteristic function
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trapezoidal formula
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0.7734311819076538
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0.7642447352409363
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0.7637794017791748
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0.7303579449653625
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