Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations-Reference-Cited by-同舟云学术

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Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations

Published:2010-12 Issue:3 Volume:235 Page:563-592
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Nyström Kaj,Önskog Thomas

Funder

Swedish research council VR

Swedish Defense Research Agency, FOI

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference33 articles.

1. Monte Carlo Methods in Financial Engineering;Glasserman,2003

2. Malliavin Greeks without Malliavin calculus;Chen;Stochastic Processes and their Applications,2007

3. Smoking adjoints; fast Monte Carlo Greeks;Glasserman;Risk Magazine,2006

4. Local Vega index and variance reduction methods;Bermin;Mathematical Finance,2003

5. Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options;Bernis;Mathematical Finance,2003

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