Variants of the Combination Technique for Multi-Dimensional Option Pricing

DOI10.1007/978-3-642-25100-9_27zbMath1246.91147OpenAlexW2167371055MaRDI QIDQ2905434

Stefanie Schraufstetter, Janos Benk, Hans-Joachim Bungartz, Aliz-Eva Nagy

Publication date: 27 August 2012

Published in: Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25100-9_27

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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