Narrow search
Showing 1 - 10 of 96
Cover Image
Analyzing the bias in the primal-dual upper bound method for early exercisable derivatives : bounds, estimation and removal
Joshi, Mark S. - 2014
Persistent link: https://www.econbiz.de/10010348822
Cover Image
Monte Carlo bounds for callable products with non-analytic break costs
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297269
Cover Image
A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297275
Cover Image
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297310
Cover Image
Option pricing and the Dirichlet problem
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297315
Cover Image
The convergence of binomial trees for pricing the American put
Joshi, Mark S. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003797784
Cover Image
Achieving smooth asymptotics for the prices of European options in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632920
Cover Image
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
Cover Image
Minimal Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
Chan, Jiun Hong - 2011
In this paper, we present a generic framework known as the minimal partial proxy simulation scheme. This framework allows for a stable computation of the Monte-Carlo Greeks for financial products with trigger features via finite difference approximation. The minimal partial proxy simulation...
Persistent link: https://www.econbiz.de/10013134683