Valuation of Performance‐Dependent Options

DOI10.1080/13504860601170492zbMath1134.91418OpenAlexW2085249075MaRDI QIDQ3502198

Markus Holtz, Thomas Gerstner

Publication date: 22 May 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860601170492

zbMATH Keywords

option pricingmultivariate integrationhyperplane arrangements

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance

Cites Work

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• Remarks on algorithm 006: An adaptive algorithm for numerical integration over an N-dimensional rectangular region
• Martingales and stochastic integrals in the theory of continuous trading
• Numerical integration using sparse grids
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Lectures on the Mathematics of Finance
• Algorithm 698: DCUHRE

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