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Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo; Caramellino, Lucia; Iovino, Maria Gabriella - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001444185
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MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.; Li, Haitao; Wells, Martin T. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
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Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 117-152
Persistent link: https://www.econbiz.de/10001372181
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On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models
Fromkorth, Andreas; Köhler, Michael - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 371-399
Persistent link: https://www.econbiz.de/10011350612
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A primal-dual algorithm for BSDES
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 866-901
Persistent link: https://www.econbiz.de/10011764983
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Valuation by simulation of contingent claims with multiple early exercise opportunities
Ibáñez, Alfredo - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 223-248
Persistent link: https://www.econbiz.de/10002032694
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Monte Carlo valuation of American options
Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 271-286
Persistent link: https://www.econbiz.de/10001686397
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On the error in the Monte Carlo pricing of some familiar European path-dependent options
Hörfelt, Per - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 345-357
Persistent link: https://www.econbiz.de/10002725503
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Monte Carlo method for the valuation of multiple-exercise options
Meinshausen, Nicolai; Hambly, Ben - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 557-583
Persistent link: https://www.econbiz.de/10002396369
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Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10001765655