scientific article; zbMATH DE number 1222808

zbMATH Open0913.90019MaRDI QIDQ4218395

John P. Lehoczky

Publication date: 11 November 1998

Title of this publication is not available (Why is that?)

zbMATH Keywords

Monte Carlo simulationcomputing option prices

Mathematics Subject Classification ID

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

Related Items (4)

Computational methods for option replication ⋮ Simulated Greeks for American options ⋮ Estimating Security Price Derivatives Using Simulation ⋮ AUTOMATED OPTION PRICING: NUMERICAL METHODS

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