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Optimal importance sampling in securities pricing
Su, Yi; Fu, Michael - In: The journal of computational finance 5 (2002) 4, pp. 27-50
Persistent link: https://www.econbiz.de/10001695832
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Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods
Fu, Michael; Madan, Dilip B.; Wang, Tong - In: The journal of computational finance 2 (1998/1999) 2, pp. 49-74
Persistent link: https://www.econbiz.de/10001633397
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A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang; Fu, Michael; Marcus, Steven I. - In: Operations research 60 (2012) 2, pp. 447-460
Persistent link: https://www.econbiz.de/10009554759
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Option pricing for a jump-diffusion model with general discrete jump-size distributions
Fu, Michael; Li, Bingqing; Li, Guozhen; Wu, Rongwen - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3961-3977
Persistent link: https://www.econbiz.de/10011772831
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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
Fu, Michael; Li, Bingqing; Wu, Rongwen; Zhang, Tianqi - In: Frontiers of mathematical finance : FMF 1 (2022) 1, pp. 137-160
Persistent link: https://www.econbiz.de/10015373429