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  • Search: subject:"Recurrent transformations"
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Barrier options 1 Diffusions with killing 1 Drift-implicit scheme 1 Euler-Maruyama scheme 1 Innovation diffusion 1 Innovationsdiffusion 1 Kato classes 1 Martingal 1 Martingale 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Recurrent transformations 1 Stochastic process 1 Stochastischer Prozess 1 Strict local martingales 1 Weak convergence 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Hok, Julien 1 Çetin, Umut 1
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Finance and stochastics 1
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Speeding up the Euler scheme for killed diffusions
Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707
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