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Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - 2008
Persistent link: https://www.econbiz.de/10003797820
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A general formula for option prices in a stochastic volatility model
Ching, Stephen; Dufresne, Daniel - 2009
Persistent link: https://www.econbiz.de/10003901912
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Stochastic volatility and option pricing
Dufresne, Daniel - 2009
Persistent link: https://www.econbiz.de/10003901917
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Fast sensitivity computations for Monte Carlo valuation of pension funds
Joshi, Mark S.; Pitt, David C. - 2009
Persistent link: https://www.econbiz.de/10003924234
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924254
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Fast delta computations in the swap market model
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924295
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Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924341
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Graphical Asian options
Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924342
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Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - 2009
Persistent link: https://www.econbiz.de/10003924345
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Vega control
Denson, Nick; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924360