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~subject:"Option pricing theory"
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Option pricing theory
Theorie
70
Theory
70
Optionspreistheorie
32
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19
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18
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18
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Optionsgeschäft
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English
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Glasserman, Paul
22
Pirjol, Dan
10
Broadie, Mark
7
Zhu, Lingjiong
5
Wu, Qi
3
Heidelberger, Philip
2
Kim, Kyoung-kuk
2
Nouri, Behzad
2
Shahabuddin, Perwez
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1
Chen, Nan
1
Jain, Gautam
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Kou, S. G.
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The journal of computational finance
3
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International journal of theoretical and applied finance : IJTAF
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Applications of mathematics : stochastic modelling and applied probability
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul
;
Pirjol, Dan
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
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2
Monte Carlo methods in financial engineering
Glasserman, Paul
-
2004
Persistent link: https://www.econbiz.de/10001763783
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3
Fast greeks by simulation in forward LIBOR models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
The journal of computational finance
3
(
1999
)
1
,
pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
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4
Importance sampling in the Health-Jarrow-Morton framework
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
The journal of derivatives : the official publication …
7
(
1999
)
1
,
pp. 32-50
Persistent link: https://www.econbiz.de/10001432466
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5
Estimating security price derivatives using simulation
Broadie, Mark
;
Glasserman, Paul
-
1993
Persistent link: https://www.econbiz.de/10000990346
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6
A continuity correction for discrete barrier options
Broadie, Mark
- In:
Mathematical finance : an international journal of …
7
(
1997
)
4
,
pp. 325-349
Persistent link: https://www.econbiz.de/10001232779
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7
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
9
(
1999
)
2
,
pp. 117-152
Persistent link: https://www.econbiz.de/10001372181
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8
Enhanced Monte Carlo estimates for American option prices
Broadie, Mark
- In:
The journal of derivatives : the official publication …
5
(
1997
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10001226468
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9
Cap and swaption approximations in Libor market models with jumps
Glasserman, Paul
;
Merener, Nicolas
- In:
The journal of computational finance
7
(
2003
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10001805437
Saved in:
10
Pricing American style securities using simulation
Broadie, Mark
- In:
Journal of economic dynamics & control
21
(
1997
)
8
,
pp. 1323-1352
Persistent link: https://www.econbiz.de/10001222047
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