Search for tag: "convergence in law"

Lectures 70-71: Computationally simple trees duration 1 hour 42 minutes Lectures 70-71: Computationally simple trees Lectures 70-71: Computationally simple trees	Lectures 70-71: Computationally simple trees Building computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB… computationally simple trees ornstein-uhlenbeck process markov chain convergence in distribution convergence in law parallel computing From Tiziano Vargiolu 9 plays 0
Lecture 3: binomial approximation duration 42 minutes 59 seconds Lecture 3: binomial approximation Lecture 3: binomial approximation	Lecture 3: binomial approximation Binomial random walk. Convergence in distribution to a Brownian motion binomial random walk random walk brownian motion convergence in distribution convergence in law characteristic function From Tiziano Vargiolu 35 plays 0