Relative distance―an error measure in round-off error analysis
نویسندگان
چکیده
منابع مشابه
Integrated volatility and round-off error
We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre and Jacod, consists in the observation at the high frequency n, with round-off error αn, of a diffusion on a finite interval. We give from this sample estimators for different forms of the integrated volatility of the ...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 1982
ISSN: 0025-5718
DOI: 10.1090/s0025-5718-1982-0669649-2