First-Order Schemes in the Numerical Quantization Method
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Publication:4409034
DOI10.1111/1467-9965.t01-1-00002zbMath1056.91025OpenAlexW3123211828MaRDI QIDQ4409034
Jacques Printems, Gilles Pagès, Vlad Bally
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00072164/document
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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