Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities (Q4921219)
From MaRDI portal
scientific article; zbMATH DE number 6165398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities |
scientific article; zbMATH DE number 6165398 |
Statements
Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities (English)
0 references
23 May 2013
0 references
barrier options
0 references
discretely monitored derivatives
0 references
numerical method
0 references
curse of dimensionality
0 references
