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Markovian Projection of Stochastic Processes

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Figure 5.1: d=2 : Monte Carlo estimator ˆ C(T, K) vs analytical approxima- approxima-tion (red) for 20-days call opapproxima-tion prices.
Table 5.1: d=2: Monte Carlo estimator ˆ C(T, K) vs analytical approxima- approxima-tion (red) for 20-days call opapproxima-tion prices (LI 10% (T, K), UI 10% (T, K)) is the
Figure 5.2: Dimension 30 : Monte Carlo estimator ˆ C(T, K) vs analytical ap- ap-proximation (red) for 20-days call option prices (LI 10% (T, K), UI 10% (T, K))
Table 5.2: Dimension 2 : Assessment of the accuracy of the Laplace ap- ap-proximation of the asymptotic l(K).
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