Simulation Based Option Pricing
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Publication:3542267
DOI10.1007/978-3-540-69179-2_18zbMATH Open1307.91171OpenAlexW2221485262MaRDI QIDQ3542267
Denis Belomestny, Grigori N. Milstein
Publication date: 1 December 2008
Published in: Applied Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-69179-2_18
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Simulated Greeks for American options ⋮ Unnamed Item ⋮ Estimating Security Price Derivatives Using Simulation ⋮ Evaluating volatility forecasts in option pricing in the context of a simulated options market
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