Pricing of derivatives on mean-reverting assets

DOI10.1007/978-3-642-02909-7zbMath1177.91004OpenAlexW616693435MaRDI QIDQ1040902

Björn Lutz

Publication date: 26 November 2009

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-02909-7

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Ziggurat