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zbMath1326.91027MaRDI QIDQ3454077

Hongxi Lin, Liang Jiang

Publication date: 2 December 2015

Full work available at URL: http://www.ceser.in/ceserp/index.php/ijamas/article/view/3799

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricing martingale measure Markov chain Monte Carlo (MCMC)fat-tailed feature

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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