Real-time derivative pricing and hedging with consistent metamodels
Guangxin Jiang, L. Jeff Hong, Haihui Shen
| Year of publication: |
2024
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|---|---|
| Authors: | Jiang, Guangxin ; Hong, L. Jeff ; Shen, Haihui |
| Published in: |
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences. - Linthicum, Md. : INFORMS, ISSN 1526-5528, ZDB-ID 2004082-9. - Vol. 36.2024, 5, p. 1168-1189
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| Subject: | metamodeling | derivative pricing | simulation analytics | stochastic kriging | Derivat | Derivative | Simulation | Optionspreistheorie | Option pricing theory | Hedging | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2023.0292 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015164392