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zbMath1140.91043arXivmath/0601468MaRDI QIDQ3427342

Frederik S. Herzberg

Publication date: 19 March 2007

Full work available at URL: https://arxiv.org/abs/math/0601468

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

cubature Markov chains error bounds American and Bermudan options Markovian market models

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)

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