On the practical point of view of option pricing

DOI10.1515/mcma-2022-2122zbMath1505.91380OpenAlexW4297339803MaRDI QIDQ2101128

Nikolaos Halidias

Publication date: 28 November 2022

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2022-2122

zbMATH Keywords

incomplete marketsmulti-asset optionsBermudan optionssafe price

Mathematics Subject Classification ID

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

Related Items (1)

Option pricing: examples and open problems

Cites Work

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• Martingale methods in financial modelling.
• Stochastic calculus for finance. II: Continuous-time models.
• Financial Mathematics
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options

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