Art
J-GLOBAL ID：201602289745290533
Reference number：16A1370028
Order estimates for the exact Lugannani-Rice expansion
正確なLugannani-Rice展開に対する次数評価
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Author (3)：
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Material：
Volume：
33
Issue：
1
Page：
25-61
Publication year：
2016
JST Material Number：
L5671A
ISSN：
0916-7005
Document type：
Article
Article type：
原著論文
Country of issue：
Germany, Federal Republic of (DEU)
Language：
ENGLISH (EN)
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Semi thesaurus term：
Thesaurus term/Semi thesaurus term
Keywords indexed to the article.
All keywords is available on JDreamIII(charged).
On J-GLOBAL, this item will be available after more than half a year after the record posted. In addtion, medical articles require to login to MyJ-GLOBAL.
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Author keywords (5)：
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JST classification (2)：
JST classification
Category name(code) classified by JST.
Fluctuation phenomena,random process,Brownian motion,and transport process
, Mathematical physics
Reference (26)：
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Aït-Sahalia, Y., Yu, H.: Saddlepoint approximations for continuous-time Markov processes. J. Economet. 134, 507-551 (2006)
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Benabid, A., Bensusan, H., El Karoui, N.: Wishart stochastic volatility: asymptotic smile and numerical framework. Preprint (2010)
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Bru, M.F.: Wishart processes. J. Theor. Prob. 4, 724-743 (1991)
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Butler, R.W.: Saddlepoint Approximations with Applications. Cambridge Series in Statistical and Probabilistic Mathematics. Cambridge University Press, Cambridge (2007)
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Carr, P., Madan, A.: Saddlepoints methods for option pricing. J. Comput. Finance 13(1), 49-61 (2009)
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Terms in the title
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