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pro vyhledávání: '"Sestovic, Dragan"'
Autor:
Joubert, Jacques1 (AUTHOR), Sestovic, Dragan2 (AUTHOR), Barziy, Illya1 (AUTHOR), Distaso, Walter2 (AUTHOR), López de Prado, Marcos3 (AUTHOR)
Publikováno v:
Journal of Portfolio Management. 2024 Quantitative Tools, Vol. 51 Issue 2, p12-27. 16p.
Publikováno v:
Physica A 289 (3-4) (2001) 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 optio
Externí odkaz:
http://arxiv.org/abs/cond-mat/0008147
