منابع مشابه
Analytical approximations for financial derivatives
We propose a new approach to the analytical approximation of transition densities typically arising in finance. This allows to obtain an expansion of the price of financial derivatives using as starting point the classical Black&Scholes formula. Explicit error estimates for the expansion truncated at any order are available. A numerical test is presented and possible applications to Monte Carlo...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 1954
ISSN: 0025-5718
DOI: 10.1090/s0025-5718-1954-0064483-1