No label defined (Q4522338)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1546640
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | No label defined |
scientific article; zbMATH DE number 1546640 |
Statements
19 December 2000
0 references
survey
0 references
modelling and numerical issues
0 references
0.9053194522857666
0 references
0.9053194522857666
0 references
0.8311948180198669
0 references
0.8006821870803833
0 references
This paper gives a survey of some issues in mathematical finance, concentrating mostly on practical problems (modelling and numerical issues) and ignoring more theoretical issues. It describes the classical theory of option pricing (Black-Scholes) and some more recent models together with some of the issues concerning them as for example numerical computation for hedges. Finally, a general approach to the issue of option pricing and hedging with partial observation of information is described. Between, a short presentation of some work allowing efficient Monte-Carlo computation for hedges is given.
0 references
