Examples of financial market models obtained by euler discretization of continuous models

This work was done under partial financial support of RFBR (Grant n. 19-01-00451).

Detalhes bibliográficos
Autor principal: Esquível, Manuel Leote (author)
Outros Autores: Krasii, Nadezhda P. (author)
Formato: article
Idioma:eng
Publicado em: 2021
Assuntos:
Commodity prices
Coupled stochastic differential equations system
Euler-Maruyama discretization
Girsanov change of probability in discrete time
Naive stochastic integration in Hilbert space
Statistics and Probability
Discrete Mathematics and Combinatorics
Texto completo:http://hdl.handle.net/10362/121165
País:Portugal
Oai:oai:run.unl.pt:10362/121165
Descrição
Resumo:This work was done under partial financial support of RFBR (Grant n. 19-01-00451).

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