Low-Dimensional Approximations of High-Dimensional Asset Price Models
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Publication:4990516
DOI10.1137/20M1325666zbMath1466.91352arXiv2003.06928OpenAlexW3120647085MaRDI QIDQ4990516
Pawan Goyal, Christian Bayer, Martin Redmann
Publication date: 28 May 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.06928
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
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