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Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

Physica A: Statistical Mechanics and its Applications, no. 3 (2001): 517-525

引用63|浏览27
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摘要

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 reduces considerably the variance of our HMC schem...更多

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