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Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation.

Rachel KoskodanEdward J. Allen
Published in: Math. Comput. Model. (2008)
Keyphrases
  • stochastic models
  • neural network
  • high dimensional
  • stochastic model
  • stochastic processes
  • multiscale
  • multiresolution
  • higher order
  • marginal distributions