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Numerical construction of a hedging strategy against the multi-asset European claim

Milʹstejn, Grigorij N. (contributor); … - 1999 - [Elektronische Ressource]

For evaluating a hedging strategy we have to know at every instant the solution of the Cauchy problem for a parabolic equation (the value of the hedging portfolio) and its derivatives (the deltas). We suggest to find these magnitudes by Monte Carlo simulation of the corresponding system of...

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