Variants of the Combination Technique for Multi-Dimensional Option Pricing

DOI10.1007/978-3-642-25100-9_27zbMath1246.91147MaRDI QIDQ2905434

Hans-Joachim Bungartz, Stefanie Schraufstetter, Janos Benk, Aliz-Eva Nagy

Publication date: 27 August 2012

Published in: Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25100-9_27

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)