Markov cubature rules for polynomial processes
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Date
2020-04Type
- Journal Article
Publication status
publishedExternal links
Journal / series
Stochastic Processes and their ApplicationsVolume
Pages / Article No.
Publisher
ElsevierSubject
Polynomial process; Cubature rule; Asymptotic moments; Transition rate matrix; Transition probabilities; American optionsFunding
163425 - Tractable Stopping Problems in Finance (SNF)
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