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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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Computing tails of compound distributions using direct numerical integration
Luo, Xiaolin; Shevchenko, Pavel V. - In: The journal of computational finance 13 (2009/10) 2, pp. 73-111
Persistent link: https://www.econbiz.de/10003949897
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Valuation of barrier options using sequential Monte Carlo
Shevchenko, Pavel V.; Del Moral, Pierre - In: The journal of computational finance 20 (2016/2017) 4, pp. 107-135
Persistent link: https://www.econbiz.de/10011691638