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~subject:"Option pricing theory"
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Option pricing theory
Theorie
69
Theory
68
Optionspreistheorie
23
Risikomanagement
19
Risk management
18
Portfolio selection
17
Portfolio-Management
17
Risiko
15
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15
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Risikomaß
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simulation
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Netzwerk
8
Prognoseverfahren
8
Stochastic process
8
Stochastischer Prozess
8
USA
8
United States
8
Ansteckungseffekt
7
Contagion effect
7
Financial market regulation
7
Finanzmarktregulierung
7
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Article
17
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Arbeitspapier
1
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1
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English
22
Author
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Glasserman, Paul
22
Broadie, Mark
7
Wu, Qi
3
Heidelberger, Philip
2
Kim, Kyoung-kuk
2
Nouri, Behzad
2
Shahabuddin, Perwez
2
Zhao, Xiaoliang
2
Boyle, Phelim P.
1
Chen, Nan
1
Jain, Gautam
1
Kou, S. G.
1
Kou, Steven
1
Merener, Nicolas
1
Pirjol, Dan
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Columbia University / Graduate School of Business
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Finance and stochastics
3
Journal of economic dynamics & control
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
The journal of computational finance
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Applications of mathematics : stochastic modelling and applied probability
1
International journal of theoretical and applied finance
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Paine Webber working paper series in money, economics and finance
1
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ECONIS (ZBW)
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Importance sampling in the Health-Jarrow-Morton framework
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
The journal of derivatives : the official publication …
7
(
1999
)
1
,
pp. 32-50
Persistent link: https://www.econbiz.de/10001432466
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2
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
9
(
1999
)
2
,
pp. 117-152
Persistent link: https://www.econbiz.de/10001372181
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3
Monte Carlo methods in financial engineering
Glasserman, Paul
-
2004
Persistent link: https://www.econbiz.de/10001763783
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4
Fast greeks by simulation in forward LIBOR models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
The journal of computational finance
3
(
1999
)
1
,
pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
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5
Estimating security price derivatives using simulation
Broadie, Mark
;
Glasserman, Paul
-
1993
Persistent link: https://www.econbiz.de/10000990346
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6
A continuity correction for discrete barrier options
Broadie, Mark
- In:
Mathematical finance : an international journal of …
7
(
1997
)
4
,
pp. 325-349
Persistent link: https://www.econbiz.de/10001232779
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7
Enhanced Monte Carlo estimates for American option prices
Broadie, Mark
- In:
The journal of derivatives : the official publication …
5
(
1997
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10001226468
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8
Cap and swaption approximations in Libor market models with jumps
Glasserman, Paul
;
Merener, Nicolas
- In:
The journal of computational finance
7
(
2003
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10001805437
Saved in:
9
Pricing American style securities using simulation
Broadie, Mark
- In:
Journal of economic dynamics & control
21
(
1997
)
8
,
pp. 1323-1352
Persistent link: https://www.econbiz.de/10001222047
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10
Monte Carlo methods for security pricing
Boyle, Phelim P.
- In:
Journal of economic dynamics & control
21
(
1997
)
8
,
pp. 1267-1321
Persistent link: https://www.econbiz.de/10001222048
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