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

DOI10.1016/J.CAM.2010.06.009zbMATH Open1231.91479OpenAlexW2008261379MaRDI QIDQ708279FDOQ708279

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

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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)

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

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