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

DOI10.1016/J.CAM.2010.06.009MaRDI QIDQ708279zbMATH OpenOpenAlexFDO

Authors 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

sensitivity analysisEuler schemestochastic differential equationsa posteriori error estimateadaptive algorithmshedgingparabolic partial differential equationsfinancial derivatives

Mathematics Subject Classification ID

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

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Cited in

(4)

• A priori error estimates for reduced order models in finance
• Error Calculus and Path Sensitivity in Financial Models
• Efficient price sensitivity estimation of financial derivatives by weak derivatives
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models

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