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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…

From  Tiziano Vargiolu 6 plays 0  

Lecture 3: binomial approximation

Binomial random walk. Convergence in distribution to a Brownian motion

From  Tiziano Vargiolu 31 plays 0