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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The journal of futures markets"
~subject:"Asia"
~subject:"Monte Carlo simulation"
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International journal of theoretical and applied finance
The journal of futures markets
The journal of computational finance
10
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5
European journal of operational research : EJOR
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Pricing arithmetic Asian and Amerasian options : a diffusion operator integral expansion approach
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10014293009
Saved in:
3
GARCH pricing and hedging of VIX options
Liu, Qiang
;
Jiao, Yuhan
;
Guo, Shuxin
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
Saved in:
4
Pricing Asian options with correlators
Lavagnini, Silvia
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-44
Persistent link: https://www.econbiz.de/10012887425
Saved in:
5
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
6
Sensitivities of Asian options in the black-scholes model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011846502
Saved in:
7
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
Saved in:
8
Conditional Asian options
Feng, Runhuan
;
Volkmer, Hans W.
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011403926
Saved in:
9
A forward Monte Carlo method for American options pricing
Miao, Daniel Wei-chung
;
Lee, Yung-hsin
- In:
The journal of futures markets
33
(
2013
)
4
,
pp. 369-395
Persistent link: https://www.econbiz.de/10009725613
Saved in:
10
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
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