Monte Carlo option pricing under simplified self-financing condition

zbMATH Open1488.91158MaRDI QIDQ5017252FDOQ5017252

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

Publication date: 17 December 2021

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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)

Cited In (2)

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

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