ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO

DOI10.1142/S0219024914500423zbMath1304.91241OpenAlexW3125323214MaRDI QIDQ2941057

Christian Pigorsch, Nikolaus Schweizer, Stefan Ankirchner

Publication date: 21 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500423

zbMATH Keywords

variance boundsleast-squares Monte Carlohedging risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Cross-hedging minimum return guarantees: basis and liquidity risks

Cites Work

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