Cubature on Wiener Space: Pathwise Convergence
نویسندگان
چکیده
منابع مشابه
Cubature on Wiener Space: Pathwise Convergence
A. Cubature on Wiener space [Lyons, T.; Victoir, N.; Proc. R. Soc. Lond. A 8 January 2004 vol. 460 no. 2041 169-198] provides a powerful alternative to Monte Carlo simulation for the integration of certain functionals on Wiener space. More specifically, and in the language of mathematical finance, cubature allows for fast computation of European option prices in generic diffusion models....
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ژورنال
عنوان ژورنال: Applied Mathematics & Optimization
سال: 2012
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-012-9187-8