Option price sensitivity to errors in stochastic dynamics modeling

DOI10.1137/1.9781611973303.18zbMath1470.91268OpenAlexW2480134706MaRDI QIDQ5005079

Yutheeka Gadhyan, Robert Azencott, Roland Glowinski

Publication date: 4 August 2021

Published in: Proceedings of the 2009 SIAM Conference on “Mathematics for Industry” (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/92e5e7ee61cd8264c7f308b12587a9a1edccb0d3

Mathematics Subject Classification ID

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

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