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  • Search: subject:"Asymptotic method"
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Asymptotic method 2 Strong convergence 2 asymptotic method 2 multi-level Monte Carlo 2 Closed-form solution 1 Constrained equation 1 Economic convergence 1 Estimation theory 1 Healthcare 1 Levy models 1 Mathematical programming 1 Mathematische Optimierung 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Options 1 Pareto stationarity 1 Pricing 1 Schätztheorie 1 Stochastic multiobjective problem with complementarity constraints 1 Stochastic time change 1 Variance swaps 1 Volatility swaps 1 Wirtschaftliche Konvergenz 1
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Article 4
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 3 English 1
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Carr, Peter 1 Itkin, Andrey 1 Liang, Yan-Chao 1 Lin, Gui-Hua 1 TANAKA, HIDEYUKI 1 Tanaka, Hideyuki 1 YAMADA, TOSHIHIRO 1 Yamada, Toshihiro 1 Zhang, Dali 1
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European Journal of Operational Research 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Review of Derivatives Research 1
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD
TANAKA, HIDEYUKI; YAMADA, TOSHIHIRO - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450014-1
Motivated by weak convergence results in the paper of Takahashi & Yoshida (2005), we show strong convergence for an accelerated Euler–Maruyama scheme applied to perturbed stochastic differential equations. The Milstein scheme with the same acceleration is also discussed as an extended result....
Persistent link: https://www.econbiz.de/10010765572
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Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method
Tanaka, Hideyuki; Yamada, Toshihiro - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10010363902
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Stochastic multiobjective problems with complementarity constraints and applications in healthcare management
Lin, Gui-Hua; Zhang, Dali; Liang, Yan-Chao - In: European Journal of Operational Research 226 (2013) 3, pp. 461-470
nonlinear equations with simple constraints. Then, we introduce an asymptotic method to solve these constrained equations …
Persistent link: https://www.econbiz.de/10010608498
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Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
Itkin, Andrey; Carr, Peter - In: Review of Derivatives Research 13 (2010) 2, pp. 141-176
Persistent link: https://www.econbiz.de/10008526467
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