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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196

Persistent link: https://www.econbiz.de/10011704227

Examining the efficiency of American put option pricing by Monte Carlo methods with variance reduction

Chang, George - In: International journal of economics and finance 10 (2018) 2, pp. 10-13

Persistent link: https://www.econbiz.de/10011814902

A cost of carry-based framework for the Bitcoin futures price modeling

Lian, Yu-Min; Cheng, Chi-Hung; Lin, Shih-Hsun; Lin, … - In: Journal of mathematical finance 9 (2019) 1, pp. 42-53

Persistent link: https://www.econbiz.de/10012116666

Monte Carlo methods in financial engineering

Glasserman, Paul - 2004

Persistent link: https://www.econbiz.de/10001763783

Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives

Chen, A.-S.; Shen, P.-F. - In: Applied economics letters 10 (2003) 4, pp. 223-229

Persistent link: https://www.econbiz.de/10001748973

An exit-probability-based approach for the valuation of defaultable securities

Caramellino, Lucia; Iovino, Maria Gabriella - In: The journal of computational finance 6 (2002) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10001704737

Monte Carlo method for pricing of Bermuda tpye derivatives

Kusuoka, Shigeo - In: Advances in mathematical economics 5 (2003), pp. 153-166

Persistent link: https://www.econbiz.de/10001897230

On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

Moreno, Manuel; Navas, Javier F. - In: Review of derivatives research 6 (2003) 2, pp. 107-128

Persistent link: https://www.econbiz.de/10001857659

Localized Monte Carlo algorithm to compute prices of path dependent options on trees

Ferrando, Sebastian E.; Bernal, Ariel J. - In: International journal of theoretical and applied finance 8 (2005) 5, pp. 553-574

Persistent link: https://www.econbiz.de/10003058614

Finite Element Based Monte Carlo Simulation of Option Prices on Lévy Driven Assets

Karlsson, Patrik - 2016

This paper extends the simulation algorithm by Andreasen & Huge (2011) to the simulation of option prices and deltas on Lévy driven assets. The simulation is performed relying on the inverse transition matrix of the discretized PDE. Each row describes the evolution of option prices and can thus...

Persistent link: https://www.econbiz.de/10013000626