A Monte Carlo multi-asset option pricing approximation for general stochastic processes (Q508289): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6683380 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
multi-asset option pricing | |||
| Property / zbMATH Keywords: multi-asset option pricing / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
multivariate risk management | |||
| Property / zbMATH Keywords: multivariate risk management / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Edgeworth expansion | |||
| Property / zbMATH Keywords: Edgeworth expansion / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
higher-order moments | |||
| Property / zbMATH Keywords: higher-order moments / rank | |||
Normal rank | |||
Revision as of 02:09, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Monte Carlo multi-asset option pricing approximation for general stochastic processes |
scientific article |
Statements
A Monte Carlo multi-asset option pricing approximation for general stochastic processes (English)
0 references
10 February 2017
0 references
multi-asset option pricing
0 references
multivariate risk management
0 references
Edgeworth expansion
0 references
higher-order moments
0 references
