Computable error bounds of multidimensional Euler inversion and their financial applications

Transform inversion is an efficient approximation procedure in operations research, yet the inversion results are sometimes unstable which calls for comprehensive error analysis. This article proposes a multidimensional Euler inversion (MEI) algorithm with computable error bounds. We design mild suf...

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Bibliographic Details

Published in:	Operations research letters Vol. 50; no. 6; pp. 726 - 731
Main Authors:	Zeng, Pingping, Shi, Chao
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.11.2022
Subjects:	Barrier option Discretization error Joint probability of default Multidimensional Euler inversion Truncation error Barrier option Discretization error Joint probability of default Truncation error Multidimensional Euler inversion
ISSN:	0167-6377, 1872-7468
Online Access:	Get full text
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