A Finite-Dimensional Approximation for Pricing Moving Average Options.

Marie Bernhart Peter Tankov Xavier Warin

Published in: SIAM J. Financial Math. (2011)

Keyphrases

moving average
finite dimensional
infinite dimensional
convex sets
autoregressive
higher dimensional
euclidean space
vector space
numerical solution
low dimensional
shape analysis
reproducing kernel hilbert space
distance measure
maximum likelihood
random fields
shape space