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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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Finite sample comparison of alternative estimators of Itô diffusion processes : a Monte Carlo study
Jiang, George J.; Knight, John L. - In: The journal of computational finance 2 (1999) 3, pp. 5-38
Persistent link: https://www.econbiz.de/10001638577
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Robbins-Monro algorithms and variance reduction in finance
Arouna, Bouhari - In: The journal of computational finance 7 (2003/2004) 2, pp. 35-61
Persistent link: https://www.econbiz.de/10001908052
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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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Fast drift-approximated pricing in the BGM model
Pietersz, Raoul; Pelsser, Antoon André Jean; … - In: The journal of computational finance 8 (2004) 1, pp. 93-124
Persistent link: https://www.econbiz.de/10002390575
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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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Convergence of Monte Carlo simulations involving the mean-reverting square root process
Higham, Desmond J.; Mao, Xuerong - In: The journal of computational finance 8 (2004/2005) 3, pp. 35-61
Persistent link: https://www.econbiz.de/10002996511
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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