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Option pricing with the control variate technique beyond Monte Carlo simulation
Chiu, Chun-Yuan; Dai, Tian-Shyr; Lyuu, Yuh-dauh; Liu, … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013539074
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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
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Unbiased and efficient Greeks of financial options
Lyuu, Yuh-Dauh; Teng, Huei-Wen - In: Finance and Stochastics 15 (2011) 1, pp. 141-181
Persistent link: https://www.econbiz.de/10008925430
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Unbiased and efficient Greeks of financial options
Lyuu, Yuh-dauh; Teng, Huei-wen - In: Finance and stochastics 15 (2011) 1, pp. 141-181
Persistent link: https://www.econbiz.de/10008824129
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A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, … - In: Quantitative finance 19 (2019) 7, pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755