Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations

DOI10.1111/J.1751-5823.2004.TB00227.XMaRDI QIDQ4832083zbMATH OpenOpenAlexFDO

Authors Héctor Allende, Carlos Elías, Soledad Torres

Publication date 3 January 2005

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10533/175550

zbMATH Keywords

Black-Scholes modelStochastic differential equationsHedging strategyOptions prime

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Numerical simulation for multi-asset derivatives pricing under Black-Scholes model
• Modeling of certain problems in financial mathematics: Spread option pricing
• scientific article; zbMATH DE number 6531373
• scientific article; zbMATH DE number 2012268
• Mathematical models for the pricing of American call options

Cites work

• scientific article; zbMATH DE number 1255542 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• The pricing of options and corporate liabilities

This page was built for publication: Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4832083)