金融应用中递归关系概率分布的计算方法
Computational method for probability distribution on recursive relationships in financial applications
摘要：
在量化金融中，经常需要分析观测值的特定函数之和在基础过程的离散点处的分布。例子包括概率密度函数、对冲误差、亚式期权和统计假设检验。我们提出了一种方法来计算这样的分布，利用递归方法，并检查它使用各种例子。数值实验结果表明，该方法具有较高的精度.
英文摘要：
In quantitative finance, it is often necessary to analyze the distribution of the sum of specific functions of observed values at discrete points of an underlying process. Examples include the probability density function, the hedging error, the Asian option, and statistical hypothesis testing. We propose a method to calculate such a distribution, utilizing a recursive method, and examine it using various examples. The results of the numerical experiment show that our proposed method has high accuracy.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
