Narrow search
Showing 1 - 10 of 282
Cover Image
Multilevel Monte Carlo for exponential Lévy models
Giles, Michael B.; Xia, Yuan - In: Finance and stochastics 21 (2017) 4, pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462
Cover Image
Speeding up the Euler scheme for killed diffusions
Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707
Persistent link: https://www.econbiz.de/10015130359
Cover Image
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge; Mijatović, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
Cover Image
Local time, coupling and the passport option
Henderson, Vicky; Hobson, David G. - In: Finance and stochastics 4 (2000) 1, pp. 69-80
Persistent link: https://www.econbiz.de/10001486624
Cover Image
Optimal stopping for a diffusion with jumps
Mordecki, Ernesto - In: Finance and stochastics 3 (1999) 2, pp. 227-236
Persistent link: https://www.econbiz.de/10001367337
Cover Image
A closed-form solution to the problem of super-replication under transaction costs
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54
Persistent link: https://www.econbiz.de/10001367451
Cover Image
Connecting discrete and continuous path-dependent options
Broadie, Mark; Glasserman, Paul; Kou, S. G. - In: Finance and stochastics 3 (1999) 1, pp. 55-82
Persistent link: https://www.econbiz.de/10001367460
Cover Image
Extension of the corrected barrier approximation by Broadie, Glassermann and Kou
Hörfelt, Per - In: Finance and stochastics 7 (2003) 2, pp. 231-243
Persistent link: https://www.econbiz.de/10001762752
Cover Image
Optimal stopping and perpetual options for Lévy processes
Mordecki, Ernesto - In: Finance and stochastics 6 (2002) 4, pp. 473-493
Persistent link: https://www.econbiz.de/10001702783
Cover Image
Valuation of American options in the presence of event risk
Szimayer, Alex - In: Finance and stochastics 9 (2005) 1, pp. 89-107
Persistent link: https://www.econbiz.de/10002497075