Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities
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Publication:4921219
DOI10.3233/RDA-2012-0077zbMath1263.91051MaRDI QIDQ4921219
Hon-Kwok Fung, Wei Zhou, Leong-Kwan Li, Siu Pang Yung
Publication date: 23 May 2013
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-2012-0077
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
Uses Software