Markov cubature rules for polynomial processes

Thumbnail
Metadata only
Author
Filipović, Damir
Larsson, Martin
Pulido, Sergio
Date
2020-04
Type
    Journal Article
Publication status
published
External links
Search via SFX
Journal / series
Stochastic Processes and their Applications
Volume
130(4)
Pages / Article No.
1947 - 1971
Publisher
Elsevier
Subject
Polynomial process; Cubature rule; Asymptotic moments; Transition rate matrix; Transition probabilities; American options
Funding
163425 - Tractable Stopping Problems in Finance (SNF)
More
Show all metadata
ETH Bibliography
yes
Altmetrics