THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
Year of publication: |
2006
|
---|---|
Authors: | CAPRIOTTI, LUCA |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 07, p. 1179-1199
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Computational finance | stochastic processes | derivative pricing | path integral Monte Carlo |
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