Approximating stochastic volatility by recombinant trees
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Publication:744390
DOI10.1214/13-AAP977zbMath1329.60248arXiv1205.3555WikidataQ57635864 ScholiaQ57635864MaRDI QIDQ744390
Erdinç Akyıldırım, Yan Dolinsky, Halil Mete Soner
Publication date: 25 September 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.3555
60J22: Computational methods in Markov chains
60F05: Central limit and other weak theorems
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
60J60: Diffusion processes
91G80: Financial applications of other theories
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