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Pricing of vulnerable exchange options with early counterparty credit risk
Kim, Donghyun; Kim, Geonwoo; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013413573
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Examining the efficiency of American put option pricing by Monte Carlo methods with variance reduction
Chang, George - In: International journal of economics and finance 10 (2018) 2, pp. 10-13
Persistent link: https://www.econbiz.de/10011814902
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Pricing Asian options : a comparison of numerical and simulation approaches twenty years later
Horvath, Akos; Medvegyev, Peter - In: Journal of mathematical finance 6 (2016) 5, pp. 810-841
Persistent link: https://www.econbiz.de/10011657691
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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Valuation of employee stock options using the exercise multiple approach and life tables
Kyng, Timothy; Konstandatos, Otto; Bienek, Tobias - In: Insurance / Mathematics & economics 68 (2016), pp. 17-26
Persistent link: https://www.econbiz.de/10011492438
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Valuation of employee stock options using the exercise multiple approach and life tables
Konstandatos, Otto; Kyng, Timothy; Bienek, Tobias - 2015
Persistent link: https://www.econbiz.de/10011344313
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Constrained Wiener processes and their financial applications
Leung, Andrew - In: Journal of mathematical finance 8 (2018) 4, pp. 690-709
Persistent link: https://www.econbiz.de/10012016547
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Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo; Caramellino, Lucia; Iovino, Maria Gabriella - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001444185
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Pricing constant maturity floaters with embedded options using Monte-Carlo simulation
Dockner, Engelbert J.; Moritsch, Hans - In: Financial modelling : proceedings of the 23rd Meeting …, (pp. 255-275). 1999
Persistent link: https://www.econbiz.de/10001739694
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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