Testing cubature formulae on Wiener space versus explicit pricing formulae

DOI10.1007/978-3-031-17820-7_12MaRDI QIDQ6153215zbMATH OpenOpenAlexFDO

Authors Anatoliy Malyarenko, Hossein Nohrouzian

Publication date 16 March 2024

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-17820-7_12

zbMATH Keywords

Black-Scholes modelcubature formulaeWiener space

Mathematics Subject Classification ID

Stochastic integrals (60H05) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• An algebraic method for pricing financial instruments on post-crisis market
• An efficient algorithm for computing the Baker-Campbell-Hausdorff series and some of its applications
• Computations in a free Lie algebra
• Cubature on Wiener space
• Efficient and Practical Implementations of Cubature on Wiener Space
• scientific article; zbMATH DE number 1754702 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Stochastic differential equations. An introduction with applications.
• Stochastic processes with applications to finance
• The pricing of options and corporate liabilities

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