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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Vydané v:	Operations research letters Ročník 50; číslo 6; s. 726 - 731
Hlavní autori:	Zeng, Pingping, Shi, Chao
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 01.11.2022
Predmet:	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
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