scientific article; zbMATH DE number 2031584

zbMath1042.91043MaRDI QIDQ4446074

Ansgar Jüngel, Michael Günther

Publication date: 25 January 2004

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

zbMATH Keywords

Monte Carlo methodAmerican optionsBlack-Scholes modelarbitragebinomial model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Random operators and equations (aspects of stochastic analysis) (60H25) Derivative securities (option pricing, hedging, etc.) (91G20) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (1)

Polynomial chaos for simulating random volatilities

Uses Software

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