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ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO - MaRDI portal

ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO (Q2941057)

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scientific article
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English
ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO
scientific article

    Statements

    title
    ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO (English)
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    author
    Stefan Ankirchner
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    Christian Pigorsch
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    Nikolaus Schweizer
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    publication date
    21 January 2015
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    zbMATH Keywords
    hedging risk
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    variance bounds
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    least-squares Monte Carlo
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    cites work
    Q4433608
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    Q4435813
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    zbMATH DE Number
    6389032
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    OpenAlex ID
    W3125323214
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