Polynomial Programming Approach to Weak Approximation of Levy-driven Stochastic Differential Equations with Application to Option Pricing

Publication Information

Title

Japanese:
English:	Polynomial Programming Approach to Weak Approximation of Levy-driven Stochastic Differential Equations with Application to Option Pricing

Author

Japanese:	加嶋健司, 河合玲一郎.
English:	Kenji Kashima, Reiichiro Kawai.

Language

English

Journal/Book name

Japanese:
English:	ICROS-SICE Int’l Joint Conf. 2009 (ICCAS-SICE 2009)

Volume, Number, Page

pp. 3902/3907

Published date

2009

Publisher

Japanese:
English:

Conference name

Japanese:
English:

Conference site

Japanese:
English: