Pricing Exotic Options Using Strong Convergence Properties

DOI10.1007/978-3-540-71992-2_103zbMath1308.91180OpenAlexW1530967252MaRDI QIDQ3618162

Michael B. Giles, Klaus Schmitz Abe

Publication date: 31 March 2009

Published in: Progress in Industrial Mathematics at ECMI 2006 (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:78a35416-5c40-4ea8-b1e3-29b63beeeb41

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

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