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Monte Carlo simulation
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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
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Advanced Monte Carlo methods for barrier and related exotic options
Gobet, Emmanuel
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2009
Persistent link: https://www.econbiz.de/10003827024
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3
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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