Handling discontinuities in financial engineering : good path simulation and smoothing
Xiaoqun Wang (Department of Mathematical Sciences, Tsinghua University, Beijing, China)
| Year of publication: |
March-April 2016
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| Authors: | Wang, Xiaoqun |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 64.2016, 2, p. 297-314
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| Subject: | finance | financial engineering | option pricing | Greeks | Simulation | quasi-Monte Carlo methods | path simulation method | discontinuity | effective dimension | Optionspreistheorie | Option pricing theory | Financial Engineering | Financial engineering | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Griechenland | Greece |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2015.1470 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011485479