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Copula-based stochastic frontier model with autocorrelated inefficiency

Das, Arabinda - In: Central European journal of economic modelling and … 7 (2015) 2, pp. 111-126

Persistent link: https://www.econbiz.de/10011429746

A weighted Monte Carlo simulation approach to risk assessment of information security management system

Mojtaba Hosseini Bamakan, Seyed; Dehghanimohammadabadi, … - In: International journal of enterprise information systems … 11 (2015) 4, pp. 63-78

Persistent link: https://www.econbiz.de/10011434390

Optimal search for parameters in Monte Carlo simulation for derivative pricing

Wang, Chuan-Ju; Kao, Ming-Yang - In: European journal of operational research : EJOR 249 (2016) 2, pp. 683-690

Persistent link: https://www.econbiz.de/10011436827

Approximate Non-Similar critical values based tests vs Maximized Monte Carlo tests

Sriananthakumar, Sivagowry - In: Economic modelling 49 (2015), pp. 387-394

Persistent link: https://www.econbiz.de/10011439597

Complex derivatives valuation : applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis : design and research issues

Monteiro de Lima, Ursula Silveira; Samanez, Carlos P. - In: Financial innovation : FIN 2 (2016) 4, pp. 1-14

Background: This article investigates the Least-Squares Monte Carlo Method by using different polynomial basis in American Asian Options pricing. The standard approach in the option pricing literature is to choose the basis arbitrarily. By comparing four different polynomial basis we show that...

Persistent link: https://www.econbiz.de/10011542478