Monte Carlo construction of hedging strategies against multi-asset European claims

DOI10.1080/10451120212868zbMath1005.60079OpenAlexW2040033076MaRDI QIDQ3148777

John G. M. Schoenmakers, Grigori N. Milstein

Publication date: 24 November 2002

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120212868

zbMATH Keywords

Monte Carlo simulationweak approximationvariance reductionderivative pricing and hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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