Sensitivity analysis for Monte Carlo simulation of option pricing

DOI10.1017/S0269964800003958MaRDI QIDQ2805366zbMATH OpenOpenAlexFDO

Authors Michael C. Fu, Jian-Qlang Hu

Publication date 11 May 2016

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964800003958

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• Efficient Monte Carlo simulation of security prices
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• Martingales and stochastic integrals in the theory of continuous trading
• Optimization via simulation: A review
• Smoothed (conditional) perturbation analysis of discrete event dynamical systems
• Stochastic approximation methods for constrained and unconstrained systems

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• Simulation optimization: a review and exploration in the new era of cloud computing and big data
• scientific article; zbMATH DE number 5870403 (Why is no real title available?)

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