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The importance of being scrambled : supercharged quasi-Monte Carlo
Kucherenko, Sergei; Hok, Julien - In: Journal of risk : JOR 26 (2023) 1, pp. 27-46
Persistent link: https://www.econbiz.de/10014487277
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Speeding up the Euler scheme for killed diffusions
Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707
Persistent link: https://www.econbiz.de/10015130359
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Advanced Monte Carlo methods for barrier and related exotic options
Gobet, Emmanuel - 2009
Persistent link: https://www.econbiz.de/10003827024
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Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10001765655
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Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier - In: Finance and stochastics 24 (2020) 3, pp. 633-675
Persistent link: https://www.econbiz.de/10012518073