Valuation of Performance‐Dependent Options

DOI10.1080/13504860601170492MaRDI QIDQ3502198zbMATH OpenOpenAlexFDO

Authors Thomas Gerstner, Markus Holtz

Publication date 22 May 2008

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860601170492

zbMATH Keywords

hyperplane arrangementsmultivariate integrationoption pricing

Mathematics Subject Classification ID

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

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Cites work

• Algorithm 698: DCUHRE
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• scientific article; zbMATH DE number 4032498 (Why is no real title available?)
• scientific article; zbMATH DE number 3476465 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Lectures on the Mathematics of Finance
• Martingales and stochastic integrals in the theory of continuous trading
• Numerical integration using sparse grids
• Remarks on algorithm 006: An adaptive algorithm for numerical integration over an N-dimensional rectangular region

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(5)

• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
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• Market-conform valuation of options.

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