A numerical scheme based on semi-static hedging strategy
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Publication:487521
DOI10.1515/mcma-2014-0002zbMath1303.91190arXiv1206.2934OpenAlexW2159648939MaRDI QIDQ487521
Yuri Imamura, Yuta Ishigaki, Toshiki Okumura
Publication date: 22 January 2015
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.2934
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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