A discrete Itô calculus approach to He’s framework for multi-factor discrete markets
Year of publication: |
2005
|
---|---|
Authors: | Akahori, Jirô |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 12.2005, 3, p. 273-287
|
Publisher: |
Springer |
Subject: | Discrete Itô formula | Finite difference scheme | Discrete-time multi-asset market | Primary 91B28 | Secondary 60G50 |
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