scientific article; zbMATH DE number 2065149

zbMATH Open1096.91504MaRDI QIDQ4459816FDOQ4459816

Levon Goukasian, Jakša Cvitanić, Fernando Zapatero

Publication date: 18 May 2004

Title of this publication is not available (Why is that?)

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zbMATH Keywords

options

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (7)

• Hedging using simulation: a least squares approach
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• Monte Carlo computation of optimal portfolios in complete markets
• Static hedging of multivariate derivatives by simulation
• Monte Carlo methods for derivatives of options with discontinuous payoffs
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Monte Carlo construction of hedging strategies against multi-asset European claims

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