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~person:"Yamamoto, Yohei"
~person:"Bayer, Christian"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Monte-Carlo-Methode"
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Monte Carlo simulation
9
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Option pricing theory
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Yamamoto, Yohei
Bayer, Christian
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31
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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
A modified confidence set for the structural break date in linear regression models
Yamamoto, Yohei
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 974-999
Persistent link: https://www.econbiz.de/10012040525
Saved in:
6
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
Saved in:
7
Testing for factor loading structural change under common breaks
Yamamoto, Yohei
;
Tanaka, Shinya
- In:
Journal of econometrics
189
(
2015
)
1
,
pp. 187-206
Persistent link: https://www.econbiz.de/10011502515
Saved in:
8
Confidence sets for the break date based on optimal tests
Kurozumi, Eiji
;
Yamamoto, Yohei
- In:
The econometrics journal
18
(
2015
)
3
,
pp. 412-435
Persistent link: https://www.econbiz.de/10011473814
Saved in:
9
A comment on the economics of labor adjustment: mind the gap : evidence from a Monte Carlo experiment ; reply
Cooper, Russell W.
;
Willis, Jonathan L.
- In:
The American economic review
99
(
2009
)
5
,
pp. 2267-2276
Persistent link: https://www.econbiz.de/10003936415
Saved in:
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