Simulating stochastic differential equations in option pricing

DOI10.1007/978-3-031-21484-4_28MaRDI QIDQ6999852zbMATH OpenFDO

Authors Velizar Pavlov, Teodora Klimenko

Publication date 8 April 2025

Full work available at URL https://doi.org/10.1007/978-3-031-21484-4_28

zbMATH Keywords

Monte Carlooption pricingstochastic differential equations

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 5985502 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Monte Carlo Methods for Applied Scientists
• Stochastic differential equations. An introduction with applications.
• Stochastic finance. An introduction in discrete time.
• The pricing of options and corporate liabilities
• Tools for computational finance.

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