ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO
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Publication:2941057
DOI10.1142/S0219024914500423zbMath1304.91241OpenAlexW3125323214MaRDI QIDQ2941057
Christian Pigorsch, Nikolaus Schweizer, Stefan Ankirchner
Publication date: 21 January 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024914500423
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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