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Importance sampling for option pricing with feedforward neural networks
Arandjelović, Aleksandar; Rheinländer, Thorsten; … - In: Finance and stochastics 29 (2025) 1, pp. 97-141
Persistent link: https://www.econbiz.de/10015394776
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Filtration shrinkage, the structure of deflators, and failure of market completeness
Kardaras, Constantinos; Ruf, Johannes - In: Finance and stochastics 24 (2020) 4, pp. 871-901
Persistent link: https://www.econbiz.de/10012518123
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An analysis of a least squares regression method for American option pricing
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip - In: Finance and stochastics 6 (2002) 4, pp. 449-471
Persistent link: https://www.econbiz.de/10001702781
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Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano; Alfonsi, Aurélien - In: Finance and stochastics 9 (2005) 1, pp. 29-42
Persistent link: https://www.econbiz.de/10002497060
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On the Malliavin approach to Monte Carlo approximation of conditional expectations
Bouchard, Bruno; Ekeland, Ivar; Touzi, Nizar - In: Finance and stochastics 8 (2004) 1, pp. 45-71
Persistent link: https://www.econbiz.de/10001910692
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Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong; Glasserman, Paul - In: Finance and stochastics 12 (2008) 4, pp. 507-540
Persistent link: https://www.econbiz.de/10003899268
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Quasi-Monte Carlo methods with applications in finance
L'Ecuyer, Pierre - In: Finance and stochastics 13 (2009) 3, pp. 307-349
Persistent link: https://www.econbiz.de/10003899308
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Adjoint-based Monte Carlo calibration of financial market models
Kaebe, C.; Maruhn, J. H.; Sachs, Ekkehard - In: Finance and stochastics 13 (2009) 3, pp. 351-379
Persistent link: https://www.econbiz.de/10003899315
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On irregular functionals of SDEs and the Euler scheme
Avikainen, Rainer - In: Finance and stochastics 13 (2009) 3, pp. 381-401
Persistent link: https://www.econbiz.de/10003899316
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.; Higham, Desmond J.; Mao, Xuerong - In: Finance and stochastics 13 (2009) 3, pp. 403-413
Persistent link: https://www.econbiz.de/10003899321