Discrete Algorithms for Multivariate Financial Calculus

DOI10.1007/978-3-642-15358-7_12zbMATH Open1219.91142OpenAlexW59065457MaRDI QIDQ3015686

Radu Tunaru

Publication date: 13 July 2011

Published in: Stochastic Analysis 2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15358-7_12

zbMATH Keywords

greeksweak convergenceapproximation algorithmsmulti-asset options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical quadrature and cubature formulas (65D32)

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