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Binomial valuation of lookback options
Babbs, Simon H. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1499-1525
Persistent link: https://www.econbiz.de/10001508727
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Pricing by arbitrage under arbitrary information
Babbs, Simon H. - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 163-168
Persistent link: https://www.econbiz.de/10001242836
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Interest rate modelling
James, Jessica; Webber, Nick - 2000
Persistent link: https://www.econbiz.de/10001354952
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Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge
Ribeiro, Claudio; Webber, Nick - In: The journal of computational finance 7 (2003/2004) 2, pp. 81-100
Persistent link: https://www.econbiz.de/10001908069
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Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes
Ribeiro, Claudia; Webber, Nick - In: Applied mathematical finance 13 (2006) 4, pp. 333-352
Persistent link: https://www.econbiz.de/10003396211
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Comment on "Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes" by C. Ribeiro and N. Webber
Becker, Martin - In: Applied mathematical finance 17 (2010) 1/2, pp. 133-146
Persistent link: https://www.econbiz.de/10003975363