Potters, Marc; Bouchaud, Jean-Philippe; Sestovic, Dragan - In: Physica A: Statistical Mechanics and its Applications 289 (2001) 3, pp. 517-525
We propose a new ‘hedged’ Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging strategy allows one to reduce the financial risk associated with option trading, and for the very same reason...