scientific article; zbMATH DE number 2065149

MaRDI QIDQ4459816zbMATH OpenFDO

Authors Jakša Cvitanić, Levon Goukasian, Fernando Zapatero

Publication date 18 May 2004

zbMATH Keywords

options

Mathematics Subject Classification ID

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

Recommendations

• Monte Carlo construction of hedging strategies against multi-asset European claims
• Static hedging of multivariate derivatives by simulation
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• scientific article; zbMATH DE number 1724291

Cited in

(7)

• Hedging using simulation: a least squares approach
• Monte Carlo computation of optimal portfolios in complete markets
• scientific article; zbMATH DE number 2028656 (Why is no real title available?)
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Monte Carlo construction of hedging strategies against multi-asset European claims
• Monte Carlo methods for derivatives of options with discontinuous payoffs
• Static hedging of multivariate derivatives by simulation

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4459816)