Similar Search Results - EconBiz

Mathematical pseudo-completion of the BGM model

Yasuoka, Takashi - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 375-401

Persistent link: https://www.econbiz.de/10001584358

An Efficient Lattice Algorithm for the Libor Market Model

Xiao, Tim - 2019

The LIBOR Market Model (LMM or BGM) has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice (or tree) approach...

Persistent link: https://www.econbiz.de/10012905831

An efficient lattice algorithm for the LIBOR market model

Xiao, Tim - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 25-40

Persistent link: https://www.econbiz.de/10009316814

Stochastic control for asset management

Kung, James J.; Wong, Wing Keung; Wu, E.-ching - In: Journal of mathematical finance 3 (2013) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10010240225

Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme

Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161

Persistent link: https://www.econbiz.de/10012588029

A two-factor structural model for valuing corporate securities

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - In: Review of derivatives research 27 (2024) 2, pp. 203-225

Persistent link: https://www.econbiz.de/10015133915

Special double issue: Computational aspects of complex securities

Selby, Michael J. P. (contributor) - 2000

Persistent link: https://www.econbiz.de/10001507322

LP valuation of exotic American options exploiting structure

Dempster, Michael A. H.; Hutton, J. P.; Richards, Donald G. - In: The journal of computational finance 2 (1998) 1, pp. 61-84

Persistent link: https://www.econbiz.de/10001447235

Option pricing in the jump-diffusion model with a random junp amplitude : a complete market approach

Jensen, B. - 1999

Persistent link: https://www.econbiz.de/10001456525

Optionsbewertung mit Hilfe der genetischen Programmierung

Keber, Christian - In: Operations research proceedings 1998 : selected papers …, (pp. 341-350). 1999

Persistent link: https://www.econbiz.de/10001437674

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