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Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling

Shevchenko, Pavel V. - In: The journal of computational finance 6 (2003) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10001753388

Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options with Multiple Barriers Through Discrete Sampling

Shevchenko, Pavel V. - 2014

pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on the …

Persistent link: https://www.econbiz.de/10013043651

Finite sample theory in continuous-time models

Wang, Xiaohu - In: Financial econometrics : theory and applications, (pp. 97-131). 2025

Persistent link: https://www.econbiz.de/10015426487

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options

Dash, Mihir - 2012

Heteroscedasticity (GARCH) family of models.The objective of the present study is to analyze systematic bias in the pricing of options … options were fairly priced. Any systematic bias in options pricing would provide evidence for arbitrage opportunities …

Persistent link: https://www.econbiz.de/10013109552

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

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

A closed-form exact solution for pricing variance swaps with stochastic volatility

Zhu, Song-ping; Lian, Guang-hua - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 233-256

Persistent link: https://www.econbiz.de/10008935680

An efficient algorithm for basket default swap valuation

Chiang, Mi-hsiu; Yueh, Meng-lan; Hsieh, Ming-hua - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 8-19

Persistent link: https://www.econbiz.de/10003673297

Latin hypercube sampling with dependence and applications in finance

Packham, Natalie; Schmidt, Wolfgang M. - 2008

Persistent link: https://www.econbiz.de/10003759970