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

DOI10.1016/j.cam.2010.06.009zbMath1231.91479MaRDI 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 equations; sensitivity analysis; hedging; stochastic differential equations; adaptive algorithms; a posteriori error estimate; Euler scheme; financial derivatives

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

65C30: Numerical solutions to stochastic differential and integral equations

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