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- W2912495771 abstract "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." @default.
- W2912495771 created "2019-02-21" @default.
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- W2912495771 date "2019-08-01" @default.
- W2912495771 modified "2023-09-27" @default.
- W2912495771 title "Computational method for probability distribution on recursive relationships in financial applications" @default.
- W2912495771 hasPublicationYear "2019" @default.
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