Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
نویسندگان
چکیده
where B = ( B1, · · · ,Bd ) is a standard Brownian motion, and Cb ( RN;RN ) denotes the set of RN-valued smooth functions defined over RN whose derivatives of any order are bounded. In particular, we will use the classical notation V f (x) = ∑N i=1 V i (x) ( ∂ f/∂xi ) (x) for V ∈ Cb (RN;RN) and f a differentiable function from Rn into R. This stochastic differential equation can be written in Itô form:
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