A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
DOI10.1155/2015/863165zbMath1348.60097OpenAlexW2963326965WikidataQ59111207 ScholiaQ59111207MaRDI QIDQ274837
Dorival Leão, Daniel Bonetti, Vinícius Siqueira, Alberto Ohashi
Publication date: 25 April 2016
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2015/863165
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (2)
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