A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility
DOI10.1155/2015/863165zbMath1348.60097arXiv1308.1704WikidataQ59111207 ScholiaQ59111207MaRDI QIDQ6243944
Vinícius Siqueira, Alberto Ohashi, Dorival Leão, Daniel Bonetti
Publication date: 7 August 2013
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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