Pricing of derivatives on mean-reverting assets

DOI10.1007/978-3-642-02909-7MaRDI QIDQ1040902zbMATH OpenOpenAlexFDO

Authors Björn Lutz

Publication date 26 November 2009

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-02909-7

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• Dynamic asset pricing with non-redundant forwards

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Uses Software

• Ziggurat

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