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Updating the option implied probability of default methodology
Vilsmeier, Johannes - In: The journal of computational finance 19 (2016) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
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Optimal importance sampling in securities pricing
Su, Yi; Fu, Michael - In: The journal of computational finance 5 (2002) 4, pp. 27-50
Persistent link: https://www.econbiz.de/10001695832
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Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
Shevchenko, Pavel V. - In: The journal of computational finance 6 (2003) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10001753388
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An exit-probability-based approach for the valuation of defaultable securities
Caramellino, Lucia; Iovino, Maria Gabriella - In: The journal of computational finance 6 (2002) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001704737
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Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge
Ribeiro, Claudio; Webber, Nick - In: The journal of computational finance 7 (2003/2004) 2, pp. 81-100
Persistent link: https://www.econbiz.de/10001908069
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Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian; De Marco, Stefano - In: The journal of computational finance 26 (2022) 2, pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
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Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods
Fu, Michael; Madan, Dilip B.; Wang, Tong - In: The journal of computational finance 2 (1998/1999) 2, pp. 49-74
Persistent link: https://www.econbiz.de/10001633397
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Latin hypercube sampling with dependence and applications in finance
Packham, Natalie; Schmidt, Wolfgang M. - In: The journal of computational finance 13 (2009/10) 3, pp. 81-111
Persistent link: https://www.econbiz.de/10003971915
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Unbiased Monte Carlo valuation of lookback, swing and barrier options with continous monitoring under variance gamma models
Becker, Martin - In: The journal of computational finance 13 (2009/10) 4, pp. 35-61
Persistent link: https://www.econbiz.de/10003996072
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The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien; Henry-Labordère, Pierre - In: The journal of computational finance 14 (2010/11) 3, pp. 37-71
Persistent link: https://www.econbiz.de/10008989934