Static hedging of multivariate derivatives by simulation
type: Item
instance of: scholarly article
title: Static hedging of multivariate derivatives by simulation
zbMATH Open document ID: 1064.91047
author: Niranjan Chakravarthy
published in: European Journal of Operational Research
publication date: 2005-06-13T00:00:00Z
full work available at URL: http://hdl.handle.net/10278/29372
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2175659
zbMATH Keywords: Option hedging
zbMATH Keywords: Risk management
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: Control variates
MaRDI profile type: Publication
OpenAlex ID: W2091332774
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DOI: 10.1016/J.EJOR.2004.02.014
description: scientific article; zbMATH DE number 2175659