Computational method for probability distribution on recursive relationships in financial applications

Autor: Park, Jong Jun, Lee, Kyungsub
Rok vydání: 2019
Předmět:
Druh dokumentu: Working Paper
Popis: In quantitative finance, it is often necessary to analyze the distribution of the sum of specific functions of observed values at discrete points of an underlying process. Examples include the probability density function, the hedging error, the Asian option, and statistical hypothesis testing. We propose a method to calculate such a distribution, utilizing a recursive method, and examine it using various examples. The results of the numerical experiment show that our proposed method has high accuracy.
Databáze: arXiv