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Achieving smooth asymptotics for the prices of European options in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632920
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Achieving higher order convergence for the prices of European pptions in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632930
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Asian and basket asymptotics
Dufresne, Daniel (contributor) - 2002
Persistent link: https://www.econbiz.de/10001696644
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The convergence of binomial trees for pricing the American put
Joshi, Mark S. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003797784
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - 2008
Persistent link: https://www.econbiz.de/10003797820
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Fourier transforms, option pricing and controls
Joshi, Mark S.; Chao Yang - 2011
Persistent link: https://www.econbiz.de/10009419875
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Optimal reinsurance strategies in regime-switching jump diffusion models : stochastic differential game formulation and numerical methods
Zhuo, Jin; Yin, George; Wu, Fuke - 2013
Persistent link: https://www.econbiz.de/10010349104
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The rate of convergence of the two-state lattice model for pricing vanilla options
Joshi, Mark S.; Kwok, Chun Fung - 2013
Persistent link: https://www.econbiz.de/10010349107