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Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/10/21
The pricing of exotic options in exponential L\'evy models amounts to the computation of expectations of functionals of the whole path of a L\'evy process. In many situations, Monte-Carlo methods are ...
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/12/16
The pricing of exotic options in exponential L´evy models amounts to the computation of expectations of functionals of the whole path of a L´evy process. In many situations, Monte-Carlo me...
A Binary Control Chart to Detect Small Jumps
Binary Control Chart Small Jumps independent binary
2010/3/9
The classic N p chart gives a signal if the number of successes in a sequence of inde-
pendent binary variables exceeds a control limit. Motivated by engineering applications
in industrial image pro...