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Cap and swaption approximations in Libor market models with jumps
Glasserman, Paul; Merener, Nicolas - In: The journal of computational finance 7 (2003) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10001805437
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An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas; Vicchi, Leonardo - In: The journal of computational finance 18 (2014/15) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10011298488
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Fast greeks by simulation in forward LIBOR models
Glasserman, Paul; Zhao, Xiaoliang - In: The journal of computational finance 3 (1999) 1, pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
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Estimating Greeks in simulating Lévy-driven models
Glasserman, Paul; Liu, Zongjian - In: The journal of computational finance 14 (2010) 2, pp. 3-57
Persistent link: https://www.econbiz.de/10008787350
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A stochastic mesh method for pricing high-dimensional American options
Broadie, Mark; Glasserman, Paul - In: The journal of computational finance 7 (2004) 4, pp. 35-72
Persistent link: https://www.econbiz.de/10002126763
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Estimating Greeks in simulating Lévy-driven models
Glasserman, Paul; Liu, Zongjian - In: The journal of computational finance 14 (2010/11) 2, pp. 3-56
Persistent link: https://www.econbiz.de/10008810140