Numerical Valuation of High Dimensional Multivariate European Securities
type: Item
instance of: scholarly article
title: Numerical Valuation of High Dimensional Multivariate European Securities
zbMATH Open document ID: 0852.90021
author: Jérôme Barraquand
published in: Management Science
publication date: 1996-10-01T00:00:00Z
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 913372
zbMATH Keywords: arbitrage pricing theory
zbMATH Keywords: pricing a contingent claim
zbMATH Keywords: option pricing
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: quadratic resampling
MaRDI profile type: Publication
full work available at URL: mnsc.41.12.1882
OpenAlex ID: W2105032592
DOI: 10.1287/MNSC.41.12.1882
description: scientific article; zbMATH DE number 913372