A probabilistic interpretation of the \(\theta\)-method.

DOI10.1016/S0167-7152(02)00435-2zbMath1116.60303MaRDI QIDQ1423251

Per Hörfelt

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Finite difference method\(\theta\)-methodBinomial tree

Mathematics Subject Classification ID

Heat equation (35K05) Combinatorial probability (60C05)

Cites Work

• Unnamed Item
• Theoretical Numerical Analysis
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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