We justify and give error estimates for binomial approximations of game (Israeli) options in the Black-Scholes market with Lipschitz continuous path dependent payoffs ...
This paper presents a saddlepoint approximation to the cumulative distribution function of a random vector. The proposed approximation has accuracy comparable to that of existing expansions valid in ...
2021 AUG 02 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News-- New research on Mathematics - Applied Probability Research is the subject of a report. According to news reporting ...
Stein's method has emerged as a critical framework in the study of distributional approximations, providing quantitative bounds between probability distributions through the formulation and solution ...
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