Discrete Algorithms for Multivariate Financial Calculus

DOI10.1007/978-3-642-15358-7_12zbMATH Open1219.91142OpenAlexW59065457MaRDI QIDQ3015686FDOQ3015686

Authors: Radu Tunaru 

Publication date: 13 July 2011

Published in: Stochastic Analysis 2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15358-7_12

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zbMATH Keywords

greeksweak convergenceapproximation algorithmsmulti-asset options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical methods (including Monte Carlo methods) (91G60) Numerical quadrature and cubature formulas (65D32)

Cited In (3)

• A general pricing technique based on theta-calculus and sparse grids
• The optimal discretization of probability density functions
• Constructing discrete approximations algorithms for financial calculus from weak convergence results

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