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Efficient control variates and strategies for Bermudan swaptions in a libor market model
Jensen, Malene Shin; Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746714
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Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
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Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin; Svenstrup, Mikkel - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
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Optimal allocation of simulation paths in the primal-dual algorithm
Shin Jensen, Malene (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002551370