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The Bayesian methods of jump detection : the example of gas and EUA contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10012294576
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On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models
Fromkorth, Andreas; Köhler, Michael - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 371-399
Persistent link: https://www.econbiz.de/10011350612
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An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
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Fast pricing of American options under variance gamma
Fu, Weilong; Hirsa, Ali - In: The journal of computational finance 25 (2021) 1, pp. 29-49
Persistent link: https://www.econbiz.de/10012672301
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
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The shifted GARCH model with affine variance : applications in pricing
Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8
Persistent link: https://www.econbiz.de/10015197067
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Deep structural estimation: with an application to option pricing
Chen, Hui; Didisheim, Antoine; Scheidegger, Simon - 2021
Persistent link: https://www.econbiz.de/10012819482
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Risk-neutral modeling with affine and nonaffine models
Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681
Persistent link: https://www.econbiz.de/10010233868
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Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko; Toda, Masashi - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
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An application of nonparametric volatility estimators to option pricing
Kenmoe, Romuald N.; Sanfelici, Simona - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 393-412
Persistent link: https://www.econbiz.de/10010412432