Connecting discrete and continuous path-dependent options.
Mark BroadiePaul GlassermanShing-Gang KouPublished in: Finance Stochastics (1999)
Keyphrases
- discrete space
- continuous action
- continuous domains
- discrete data
- continuous variables
- continuous data
- discrete variables
- continuous space
- piecewise linear
- continuous functions
- shortest path
- discrete geometry
- continuous valued
- differential equations
- discrete version
- dynamic programming
- information systems
- multiscale
- image sequences
- website