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Smoothing the payoff for efficient computation of basket option prices
Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul - In: Quantitative finance 18 (2018) 3, pp. 491-505
Persistent link: https://www.econbiz.de/10011906403
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Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian; Redmann, Martin; Schoenmakers, John - In: Quantitative finance 21 (2021) 1, pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
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Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 20 (2020) 9, pp. 1457-1473
Persistent link: https://www.econbiz.de/10012295614
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Pricing American options by exercise rate optimization
Bayer, Christian; Tempone, Raúl; Wolfers, Sören - In: Quantitative finance 20 (2020) 11, pp. 1749-1760
Persistent link: https://www.econbiz.de/10012295635
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Implied stopping rules for American basket options from Markovian projection
Bayer, Christian; Häppölä, Juho; Tempone, Raúl - In: Quantitative finance 19 (2019) 3, pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian; Friz, Peter K.; Gulisashvili, Archil; … - In: Quantitative finance 19 (2019) 5, pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
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Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 23 (2023) 2, pp. 209-227
Persistent link: https://www.econbiz.de/10014232621
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Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70
Persistent link: https://www.econbiz.de/10013490954