Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279)
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scientific article; zbMATH DE number 5798182
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| English | Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations |
scientific article; zbMATH DE number 5798182 |
Statements
Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (English)
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11 October 2010
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sensitivity analysis
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parabolic partial differential equations
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stochastic differential equations
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Euler scheme
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a posteriori error estimate
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adaptive algorithms
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hedging
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financial derivatives
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0.7808694243431091
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0.7730096578598022
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0.7673932909965515
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