Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
type: Item
instance of: scholarly article
title: Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
zbMATH Open document ID: 1231.91479
author: Kaj Nyström
author: Thomas Önskog
published in: Journal of Computational and Applied Mathematics
publication date: 2010-10-11T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 5798182
zbMATH Keywords: sensitivity analysis
zbMATH Keywords: parabolic partial differential equations
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Euler scheme
zbMATH Keywords: a posteriori error estimate
zbMATH Keywords: adaptive algorithms
zbMATH Keywords: hedging
zbMATH Keywords: financial derivatives
MaRDI profile type: Publication
full work available at URL: j.cam.2010.06.009
OpenAlex ID: W2008261379
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DOI: 10.1016/J.CAM.2010.06.009
description: scientific article; zbMATH DE number 5798182