COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS

DOI10.1017/S0269964818000517OpenAlexW3122141592MaRDI QIDQ5111485

Kyungsub Lee, Jong Jun Park

Publication date: 27 May 2020

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.04959

zbMATH Keywords

stochastic modelingmathematical financeapplied probabilitymanagement sciencecomputational probability

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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