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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
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2
Unbiased sensitivity estimation of one-dimensional diffusion processes
Kang, Wanmo
;
Lee, Jong Mun
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 334-353
Persistent link: https://www.econbiz.de/10012001124
Saved in:
3
Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
Saved in:
4
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
5
Algorithmic differentiation for discontinuous payoffs
Daluiso, Roberto
;
Facchinetti, Giorgio
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891863
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
On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Mathematics of operations research
40
(
2015
)
3
,
pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
Saved in:
8
Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed Lalaoui Ben
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
Saved in:
9
The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Beveridge, Christopher
;
Joshi, Mark S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10010363971
Saved in:
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