Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
type: Item
instance of: scholarly article
title: Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
zbMATH Open document ID: 1060.91058
DOI: 10.1111/1467-9965.00010
author: Jakša Cvitanić
author: Jin Ma
author: Jianfeng Zhang
published in: Mathematical Finance
publication date: 2003-01-01T00:00:00Z
full work available at URL: https://authors.library.caltech.edu/27128/
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1941978
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Monte Carlo methods
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W3124291994
cites work: Monte Carlo methods for security pricing
cites work: Efficient Monte Carlo simulation of security prices
cites work: Backward Stochastic Differential Equations in Finance
cites work: Applications of Malliavin calculus to Monte-Carlo methods in finance. II
cites work: Forward-backward stochastic differential equations and their applications
cites work: Representation theorems for backward stochastic differential equations
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description: scientific article; zbMATH DE number 1941978