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zbMath1410.91481MaRDI QIDQ3456280

Massimo Costabile

Publication date: 11 December 2015

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

zbMATH Keywords

lattice models Lévy process Richardson extrapolation variance gamma

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Extrapolation to the limit, deferred corrections (65B05) Derivative securities (option pricing, hedging, etc.) (91G20)

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