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scientific article; zbMATH DE number 1222805 - MaRDI portal

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zbMath0912.90019MaRDI QIDQ4218392

S. K. Gandhi, P. J. Hunt

Publication date: 11 November 1998

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

zbMATH Keywords

option pricing discrete approximation continuous stochastic process hedging algorithms

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A PDE based implementation of the Hull\,\&\,White model for cash flow derivatives

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