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~person:"Baldi, Paolo"
~person:"Cerrato, Mario"
~person:"Takahashi, Akihiko"
~subject:"Monte Carlo simulation"
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Monte Carlo simulation
Option pricing theory
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Baldi, Paolo
Cerrato, Mario
Takahashi, Akihiko
Joshi, Mark S.
9
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4
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Discussion papers / Adam Smith Business School, University of Glasgow
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European journal of operational research : EJOR
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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2
Optimal martingales and American option pricing
Cerrato, Mario
;
Abbasyan, Abdollah
-
2009
Persistent link: https://www.econbiz.de/10003875010
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3
Optimal martingales and American option pricing
Cerrato, Mario
(
contributor
);
Abbasyan, Abdollah
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003806133
Saved in:
4
Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo
;
Caramellino, Lucia
;
Iovino, Maria Gabriella
- In:
Mathematical finance : an international journal of …
9
(
1999
)
3
,
pp. 293-322
Persistent link: https://www.econbiz.de/10001444185
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