Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach
DOI10.1007/978-3-319-44465-9_3zbMath1367.60044arXiv1407.6348OpenAlexW2528425908MaRDI QIDQ5270095
Publication date: 22 June 2017
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.6348
functional limit theoremsdynamic programmingmartingalesstochastic differential equationsdiffusionsmathematical financeEuler schemesfunctional convex order
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Dynamic programming (90C39) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15)
Related Items (5)
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