The optimal discretization of probability density functions

DOI10.1016/S0167-9473(99)00043-2zbMath0949.65007MaRDI QIDQ1978423

D. Whobrey, Nicos Christofides, B. Tanyi, Simon Christofides, Alexander Christofides

Publication date: 4 June 2000

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

algorithmdynamic programmingfunction approximationfinancial modellingderivatives pricing and hedgingdiscretization of probability density functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Dynamic programming (90C39)

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Approximation of continuous random variables for the evaluation of the reliability parameter of complex stress-strength models ⋮ Extracting cellular automaton rules from physical Langevin equation models for single and collective cell migration ⋮ Estimating mixtures of truncated exponentials in hybrid Bayesian networks ⋮ Simulation and optimization approaches to scenario tree generation ⋮ Approximate probability propagation with mixtures of truncated exponentials

Cites Work

• The Pricing of Options and Corporate Liabilities
• Numerical solution of SDE through computer experiments. Including floppy disk
• Smoothing methods in statistics
• Option pricing: A simplified approach
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