72
Views
22
CrossRef citations to date
0
Altmetric
Original Articles

Monte Carlo construction of hedging strategies against multi-asset European claims

&
Pages 125-157 | Published online: 29 Oct 2010

References

  • Brace , A. , Gatarek , D. and Musiela , M. 1997 . “The market model of interest rate dynamics” . Math. Finance , 7 (2) : 127 – 155 .
  • Broadie , M. and Glasserman , P. 1997 . “Monte Carlo methods for pricing high-dimensional American options: an overview” . NetExposure , : 15 – 37 .
  • Dynkin , E.B. 1965 . Markov Processes , Berlin : Springer . (Engl. transl. from Russian 1963)
  • Freidlin , M.I. 1996 . Markov Processes and Differential Equations: Asymptotic Problems , Basel : Birkhäuser .
  • Gladyshev , S.A. and Milstein , G.N. 1984 . “A Runge-Kutta method for computing Wiener integrals of functionals of exponential type” . Zh. Vychisl. Mat. i Mat. Fiz. , 24 (8) : 1136 – 1150 .
  • Jamshidian , F. 1997 . “LIBOR and swap market models and measures” . Finance Stoch. , 1 : 293 – 330 .
  • Karatzas , I. and Shreve , S.E. 1998 . Methods of Mathematical Finance , Berlin : Springer .
  • Kloeden , P.E. and Platen , E. 1992 . Numerical Solution of Stochastic Differential Equations , Berlin : Springer .
  • Kwok , Y.K. 1998 . Mathematical Models of Financial Derivatives , Berlin : Springer .
  • Milstein , G.N. 1978 . “On a probabilistic solution of linear systems of elliptic and parabolic equations” . Theory Prob. Appl. , 23 : 851 – 855 .
  • Milstein , G.N. 1995 . Numerical Integration of Stochastic Differential Equations , Dordrecht : Kluwer Academic Publishers . (Engl. transl. from Russian 1988)
  • Milstein , G.N. 1997 . “Weak approximation of a diffusion process in a bounded domain” . Stoch. Stoch. Rep. , 62 : 147 – 200 .
  • Milstein , G.N. 1998 . “On the mean-square approximation of a diffusion process in a bounded domain” . Stoch. Stoch. Rep. , 64 : 211 – 233 .
  • Musiela , M. and Rutkowski , M. 1997 . Martingale Methods in Financial Modelling , Berlin : Springer .
  • Newton , N.J. 1994 . “Variance reduction for simulated diffusion” . SIAM J. Appl. Math. , 54 : 1780 – 1805 .
  • Newton , N.J. 1996 . “Variance reduced Monte Carlo methods for PDEs'” . Z. Angew. Math. Mech. , 64 (Suppl. 3) : 327 – 330 .
  • Newton , N.J. 1997 . “Continuous-time Monte Carlo methods and variance reduction” . In Numerical Methods in Finance , 22 – 42 . Cambridge : Cambridge University Press .
  • Rogers , L.C.G. and Talay , D. , eds. 1997 . Numerical Methods in Finance , Cambridge University Press .
  • Schoenmakers , J.G.M. and Heemink , A.W. 1997 . “Fast valuation of financial derivatives” . J. Comput. Finance , 1 (1) : 47 – 62 .
  • Schoenmakers , J.G.M. and Coffey , B. 1999 . LIBOR rate models, related derivatives and model calibration , Berlin : Weierstrass Institute . Preprint no. 480
  • Talay , D. and Tubaro , L. 1990 . “Expansion of the global error for numerical schemes solving stochastic differential equations” . Stoch. Anal. Appl. , 8 : 483 – 509 .
  • Wagner , W. 1988 . “Monte Carlo evaluation of functionals of solutions of stochastic differential equations. Variance reduction and numerical examples” . Stoch. Anal. Appl. , 6 : 447 – 468 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.