Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations

DOI10.1016/j.cam.2010.06.009zbMath1231.91479OpenAlexW2008261379MaRDI QIDQ708279

Kaj Nyström, Thomas Önskog

Publication date: 11 October 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.06.009

zbMATH Keywords

parabolic partial differential equationssensitivity analysishedgingstochastic differential equationsadaptive algorithmsa posteriori error estimateEuler schemefinancial derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

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