Computable error bounds of multidimensional Euler inversion and their financial applications
Pingping Zeng, Chao Shi
| Year of publication: |
2022
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|---|---|
| Authors: | Zeng, Pingping ; Shi, Chao |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 50.2022, 6, p. 726-731
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| Subject: | Multidimensional Euler inversion | Truncation error | Discretization error | Joint probability of default | Barrier option | Optionspreistheorie | Option pricing theory | Statistischer Fehler | Statistical error | Optionsgeschäft | Option trading | Wahrscheinlichkeitsrechnung | Probability theory | Variationsrechnung | Variational method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2022.10.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014230204