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Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
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Branching particle pricers with heston examples
Kouritzin, Michael A.; MacKay, Anne - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
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Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
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Algorithmic counterparty credit exposure for multi-asset Bermudan options
Shen, Yanbin; Anderluh, J. H. M.; Weide, Hans van der - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011403163
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Least squares Monte Carlo credit value adjustment with small and unidirectional bias
Joshi, Mark S.; Kwon, Oh Kang - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011686744
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American option pricing with regression : convergence analysis
Liu, Chen; Schellhorn, Henry; Peng, Qidi - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-31
Persistent link: https://www.econbiz.de/10012183261
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A risk-neutral stochastic volatility model
Zhu, Yingzi - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 289-310
Persistent link: https://www.econbiz.de/10001240151
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Monte Carlo simulation of volatility clustering in market model with herding
Stauffer, Dietrich (contributor) - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 83-94
Persistent link: https://www.econbiz.de/10001372092
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On the profit and loss distribution of dynamic hedging strategies
Esipov, Sergej; Vajsburd, Igor - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 131-152
Persistent link: https://www.econbiz.de/10001394239
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Weighted Monte Carlo : a new technique for calibrating asset-pricing models
Avellaneda, Marco (contributor) - In: International journal of theoretical and applied finance 4 (2001) 1, pp. 91-119
Persistent link: https://www.econbiz.de/10001554218