Quantization goes polynomial
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Publication:4991080
DOI10.1080/14697688.2020.1828608zbMath1467.91210arXiv1710.11435OpenAlexW3096565722MaRDI QIDQ4991080
Lucio Fiorin, Giorgia Callegaro, Andrea Pallavicini
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.11435
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic methods, stochastic differential equations (65C99)
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Cites Work
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