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Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Gyurkó, Lajos Gergely; Hambly, Ben M.; Witte, Jan Hendrik - In: Mathematical methods of operations research 81 (2015) 1, pp. 109-135
Persistent link: https://www.econbiz.de/10010488925
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Monte Carlo method for the valuation of multiple-exercise options
Meinshausen, Nicolai; Hambly, Ben - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 557-583
Persistent link: https://www.econbiz.de/10002396369
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A dual approach to multiple exercise option problems under constraints
Aleksandrov, N.; Hambly, Ben - In: Mathematical methods of operations research 71 (2010) 3, pp. 503-533
Persistent link: https://www.econbiz.de/10003990392
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The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index
Hambly, Ben; Vaicenavicius, Juozas - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10011403929
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Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Hambly, Ben; Kolliopoulos, Nikolaos - In: Finance and stochastics 24 (2020) 3, pp. 757-794
Persistent link: https://www.econbiz.de/10012518096