Pricing and hedging with discontinuous functions : quasi-Monte Carlo methods and dimensions reduction
Year of publication: |
2013
|
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Authors: | Wang, Xiaoqun ; Tan, Ken Seng |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 59.2013, 2, p. 376-389
|
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Preismanagement | Pricing strategy | Hedging | Derivat | Derivative | Simulation | Experiment |
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