An approximation connected with the exponential function
نویسندگان
چکیده
منابع مشابه
An Exponential Approximation to the Hockey Stick Function∗
The hockey stick (HS) function plays an important role in pricing and risk management of many financial derivatives. This paper considers approximating the HS function by a sum of exponentials. This enables the efficient computation of an approximation to the expected value of the HS function applied to a sum of conditionally independent nonnegative random variables, a task that arises in prici...
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The hockey stick function is a basic function in pricing and risk management of many financial derivatives. This paper considers approximating the hockey stick function by a sum of exponentials. The algorithm proposed by Beylkin and Monzón[1] is used to determine the parameters of an approximation. Theoretical properties of the approximation are studied. Numerical results are presented. This re...
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ژورنال
عنوان ژورنال: Proceedings of the American Mathematical Society
سال: 1992
ISSN: 0002-9939
DOI: 10.1090/s0002-9939-1992-1094506-8