scientific article; zbMATH DE number 2065149

zbMath1096.91504MaRDI QIDQ4459816

Levon Goukasian, Jakša Cvitanić, Fernando Zapatero

Publication date: 18 May 2004

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

zbMATH Keywords

options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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Monte Carlo computation of optimal portfolios in complete markets ⋮ Monte Carlo methods for derivatives of options with discontinuous payoffs