ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO
type: Item
instance of: scholarly article
title: ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO
zbMATH Open document ID: 1304.91241
DOI: 10.1142/S0219024914500423
author: Stefan Ankirchner
author: Christian Pigorsch
author: Nikolaus Schweizer
published in: International Journal of Theoretical and Applied Finance
publication date: 2015-01-21T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6389032
zbMATH Keywords: hedging risk
zbMATH Keywords: variance bounds
zbMATH Keywords: least-squares Monte Carlo
MaRDI profile type: Publication
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full work available at URL: s0219024914500423
OpenAlex ID: W3125323214
description: scientific article