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Monte Carlo methods for pricing discrete Parisian options
Bernard, Carole; Boyle, Phelim P. - In: The European journal of finance 17 (2011) 3/4, pp. 169-196
Persistent link: https://www.econbiz.de/10009155447
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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
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A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
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A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Aistleitner, Christoph; Hofer, Markus; Tichy, Robert F. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10009685903
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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 40 (2014), pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
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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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Measuring infrastructure investment option value
Power, Gabriel J.; Tandja M., Charli D.; Bastien, Josée; … - In: Journal of risk finance : the convergence of financial … 16 (2015) 1, pp. 49-72
Persistent link: https://www.econbiz.de/10010513368
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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851