Estimating residual hedging risk with least-squares Monte Carlo
Stefan Ankirchner; Christian Pigorsch; Nikolaus Schweizer
| Year of publication: |
2014
|
|---|---|
| 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 | Schätztheorie | Estimation theory | Risiko | Risk | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010498866