Search Results - subject:"path-dependent options"

First and second generation lookback and barrier options : enhancing pricing accuracy through Conditional Monte Carlo

Giribone, Pier Giuseppe; Tropiano, Federico - In: Risk management magazine 19 (2024) 3, pp. 4-27

simulations, a critical issue in path-dependent options. A market case based on the valuation of a Bonus Cap certificate has also …, introduced by Babsiri and Noel in 1998. Path dependent options, such as first and second-generation barrier and lookback options …

Persistent link: https://www.econbiz.de/10015371430

The seven-league scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By...

Persistent link: https://www.econbiz.de/10013200937

The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10013093086

Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates

Yang, Wensheng; Ma, Jingtang; Cui, Zhenyu - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 359-412

Persistent link: https://www.econbiz.de/10012548535

Pricing exotic option under jump-diffusion models by the quadrature method

Zhang, Jin-Yu; Wu, Wen-Bo; Li, Yong; Lou, Zhu-Sheng - In: Computational economics 58 (2021) 3, pp. 867-884

Persistent link: https://www.econbiz.de/10012651045

Speed-up credit exposure calculations for pricing and risk management

Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499

Persistent link: https://www.econbiz.de/10012483835

A general control variate method for Lévy models in finance

Shiraya, Kenichiro; Uenishi, Hiroki; Yamazaki, Akira - In: European journal of operational research : EJOR 284 (2020) 3, pp. 1190-1200

Persistent link: https://www.econbiz.de/10012238947

Pricing occupation-time options in a mixed-exponential jump-diffusion model

Aoudia, Djilali Ait; Renaud, Jean-François - In: Applied mathematical finance 23 (2016) 1/2, pp. 1-21

Persistent link: https://www.econbiz.de/10011546980

Efficient hedging of path-dependent options

Kolkiewicz, Adam W. - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10011525107

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

Fusai, Gianluca; Germano, Guido; Marazzina, Daniele - In: European journal of operational research : EJOR 251 (2016) 1, pp. 124-134

Persistent link: https://www.econbiz.de/10011446230