Static hedging of multivariate derivatives by simulation (Q1780760): Difference between revisions

@@ Property / DOI @@
-.1016/j.ejor.2004.02.014
@@ Property / DOI: 10.1016/j.ejor.2004.02.014 / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2091332774
@@ Property / OpenAlex ID: W2091332774 / rank @@
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@@ Property / cites work @@
+Misspecified asset price models and robust hedging strategies
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@@ Property / cites work @@
+WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
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@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
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+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
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@@ Property / cites work @@
+On Leland's strategy of option pricing with transactions costs
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@@ Property / cites work @@
+Q4386705
@@ Property / cites work: Q4386705 / rank @@
+Normal rank
@@ Property / cites work @@
+A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
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@@ Property / cites work @@
+Control Variate Remedies
@@ Property / cites work: Control Variate Remedies / rank @@
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@@ Property / cites work @@
+Efficient Monte Carlo pricing of European options using mean value control variates
+Normal rank
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+Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
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@@ Property / cites work @@
+Q3311717
@@ Property / cites work: Q3311717 / rank @@
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@@ Property / DOI @@
+.1016/J.EJOR.2004.02.014
@@ Property / DOI: 10.1016/J.EJOR.2004.02.014 / rank @@
+Normal rank