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Numerical analysis of Monte Carlo evaluation of Greeks by finite differences
Milʹstejn, Grigorij N.; Tretʹjakov, Michail V. - In: The journal of computational finance 8 (2004/2005) 3, pp. 1-33
Persistent link: https://www.econbiz.de/10002996502
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RESEARCH PAPERS - Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2012) 4, pp. 3-45
Persistent link: https://www.econbiz.de/10009993874
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Fast valuation of financial derivatives
Schoenmakers, John; Heemink, A. W. - In: The journal of computational finance 1 (1997) 1, pp. 47-62
Persistent link: https://www.econbiz.de/10001633173
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
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Lognormal approximations to Libor market models
Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10001704745