Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs (Q4409042)
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scientific article; zbMATH DE number 1941978
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| English | Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs |
scientific article; zbMATH DE number 1941978 |
Statements
Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs (English)
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2003
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Malliavin calculus
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Monte Carlo methods
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0.8471851348876953
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0.7794426679611206
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0.7671379446983337
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0.7640150189399719
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