scientific article; zbMATH DE number 6531373

MaRDI QIDQ3462959zbMATH OpenFDO

Authors Xuerong Mao, Xiaoyue Li

Publication date 15 January 2016

zbMATH Keywords

European optionsoption valueportfolioupper and lower bounds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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(7)

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• scientific article; zbMATH DE number 1286166 (Why is no real title available?)
• First encounters with option pricing and return simulation
• Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations

Describes a project that uses

Uses Software

• R

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