scientific article; zbMATH DE number 7523539

DOI10.4134/BKMS.B210391MaRDI QIDQ5074406zbMATH OpenFDO

Authors Hyeong-Ohk Bae, Hyuncheul Lim

Publication date 9 May 2022

Full work available at URL https://doi.org/10.4134/BKMS.B210391

zbMATH Keywords

Dupire's modelMonte Carlopath integral methodtime stepwise local volatilitytransition density function

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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Cites work

• A practical guide to splines
• Existence of an Equilibrium for a Competitive Economy
• scientific article; zbMATH DE number 3436540 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• Stochastic differential equations. An introduction with applications.
• The path integral approach to financial modeling and options pricing

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