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~subject:"Option pricing theory"
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Option pricing theory
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Computational economics
3
Applied mathematical finance
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Quantitative finance
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International review of financial analysis
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris
;
Avellaneda, Marco
- In:
Options - 45 years since the publication of the …
,
(pp. 257-292)
.
2023
Persistent link: https://www.econbiz.de/10014366655
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2
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Dang, Duy Minh
;
Jackson, Kenneth R.
;
Mohammadi, Mohammadreza
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 522-552
Persistent link: https://www.econbiz.de/10011490623
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3
Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions
Jin, Xing
;
Yang, Cheng-Yu
- In:
International review of financial analysis
44
(
2016
),
pp. 65-77
Persistent link: https://www.econbiz.de/10011623807
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4
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh
;
Jackson, Kenneth R.
;
Sues, Scott
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
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5
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
;
Park, Hyejin
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
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6
Quasi-Monte Carlo-based conditional pathwise method for option Greeks
Zhang, Chaojun
;
Wang, Xiaoqun
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 49-67
Persistent link: https://www.econbiz.de/10012194854
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7
Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Xiao, Ye
;
Wang, Xiaoqun
- In:
Computational economics
54
(
2019
)
1
,
pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
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8
An integrated Quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
He, Zhijian
;
Wang, Xiaoqun
- In:
Computational economics
57
(
2021
)
2
,
pp. 693-718
Persistent link: https://www.econbiz.de/10012486953
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Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao
;
Wang, Xiaoqun
- In:
Computational economics
62
(
2023
)
1
,
pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
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