Monte Carlo option pricing under simplified self-financing condition

MaRDI QIDQ5017252zbMATH OpenFDO

Authors Jichang Dong, Zexi Li, Zhi Dong, Xiuting Li

Publication date 17 December 2021

zbMATH Keywords

hedgingimplied volatilityself-financinglogarithmic return

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(2)

• Option pricing via Monte Carlo simulation. A weak derivative approach
• Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition

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