Fabozzi, Frank J.; Leccadito, Arturo; Tunaru, Radu S. - In: Quantitative Finance 12 (2012) 10, pp. 1571-1583
This paper describes a new technique that can be used in financial mathematics for a wide range of situations where the calculation of complicated integrals is required. The numerical schemes proposed here are deterministic in nature but their proof relies on known results from probability...