Estimating residual hedging risk with least-squares Monte Carlo
Year of publication: |
2014
|
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Authors: | Ankirchner, Stefan ; Pigorsch, Christian ; Schweizer, Nikolaus |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 7, p. 1-29
|
Subject: | Hedging risk | variance bounds | least-squares Monte Carlo | Hedging | Monte-Carlo-Simulation | Monte Carlo simulation | Kleinste-Quadrate-Methode | Least squares method | Risiko | Risk | Optionspreistheorie | Option pricing theory |
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