Risk management with local least squares Monte Carlo

DOI10.1017/asb.2023.25zbMath1545.91325MaRDI QIDQ6569736

Adnane Akbaraly, Donatien Hainaut

Publication date: 9 July 2024

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

risk managementoption valuationleast square Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Cites Work

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