Testing cubature formulae on Wiener space versus explicit pricing formulae

DOI10.1007/978-3-031-17820-7_12OpenAlexW4318060149MaRDI QIDQ6153215

Anatoliy Malyarenko, Hossein Nohrouzian

Publication date: 16 March 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-17820-7_12

zbMATH Keywords

cubature formulaeBlack-Scholes modelWiener space

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• An algebraic method for pricing financial instruments on post-crisis market
• Efficient and Practical Implementations of Cubature on Wiener Space
• Cubature on Wiener space
• An efficient algorithm for computing the Baker–Campbell–Hausdorff series and some of its applications
• Computations in a free Lie algebra
• Stochastic differential equations. An introduction with applications.
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