Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments
Year of publication: |
July 2017
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Authors: | Farmer, Leland E. ; Akira Toda, Alexis |
Published in: |
Quantitative economics : QE ; journal of the Econometric Society. - New York, NY : Soc., ISSN 1759-7323, ZDB-ID 2530322-3. - Vol. 8.2017, 2, p. 651-683
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Subject: | Asset pricing models | duality | Kullback-Leibler information | numerical methods | solution accuracy | Theorie | Theory | Markov-Kette | Markov chain | CAPM | Stochastischer Prozess | Stochastic process | Numerisches Verfahren | Numerical analysis |
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