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Weak approximation for a black-scholes type regime switching model
Kohatsu-Higa, Arturo; Tanaka, Akihiro - In: Applied mathematical finance 31 (2024) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10015194417
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Valuation of R&D investment opportunities with the threat of compentitors entry in real option analysis
Villani, Giovanni - In: Computational economics 43 (2014) 3, pp. 330-355
Persistent link: https://www.econbiz.de/10010258806
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Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed; Cherif, Sidi Mohamed Lalaoui Ben; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
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Impact of bias in the estimation of American-style options by Monte Carlo simulation
Anukal Chiralaksanakul - In: Journal of modelling in management 11 (2016) 2, pp. 644-659
Persistent link: https://www.econbiz.de/10011529578
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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Variance optimal hedging with application to electricity markets
Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
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American option pricing with regression : convergence analysis
Liu, Chen; Schellhorn, Henry; Peng, Qidi - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-31
Persistent link: https://www.econbiz.de/10012183261
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JDOI variance reduction method and the pricing of American-style options
Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656
Persistent link: https://www.econbiz.de/10013367843