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ECONIS (ZBW)
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On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Mathematics of operations research
40
(
2015
)
3
,
pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
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2
Option pricing with orthogonal polynomial expansions
Ackerer, Damien
;
Filipović, Damir
-
2017
nested affine case. We also derive and numerically validate series representations for option
Greeks
. We depict an extension …
Persistent link: https://www.econbiz.de/10011870651
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3
Parameter estimation risk in asset pricing and risk management : a Bayesian approach
Tunaru, Radu
;
Zheng, Teng
- In:
International review of financial analysis
53
(
2017
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011877849
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4
Unbiased sensitivity estimation of one-dimensional diffusion processes
Kang, Wanmo
;
Lee, Jong Mun
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 334-353
Persistent link: https://www.econbiz.de/10012001124
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5
Second-order Monte Carlo sensitivities
Daluiso, Roberto
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
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