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Pricing Asian options : a comparison of numerical and simulation approaches twenty years later

Horvath, Akos; Medvegyev, Peter - In: Journal of mathematical finance 6 (2016) 5, pp. 810-841

Persistent link: https://www.econbiz.de/10011657691

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

A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models

Juneja, Januj Amar - In: Computational economics 60 (2022) 1, pp. 173-220

Persistent link: https://www.econbiz.de/10013262506

Importance sampling for option Greeks with discontinuous payoffs

Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235

Persistent link: https://www.econbiz.de/10011489268

The optimal method for pricing Bermudan options by simulation

Ibáñez, Alfredo; Velasco, Carlos - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1143-1180

Persistent link: https://www.econbiz.de/10011969082

Estimating the structural credit risk model when equity prices are contaminated by trading noises

Duan, Jin-Chuan; Fulop, Andras - 2005

simulation study is then conducted to ascertain the performance of the estimation method. …

Persistent link: https://www.econbiz.de/10011560691

Bootstrapping the early exercise boundary in the least-squares monte carlo method

Létourneau, Pascal; Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 4/190, pp. 1-21

exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and … of simulation setup, the characteristics of the option, and the dimensionality of the problem. Finally, because our …

Persistent link: https://www.econbiz.de/10012170988

Efficient numerical pricing of American call options using symmetry arguments

Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26

regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

Persistent link: https://www.econbiz.de/10012022212

Geometrically convergent simulation of the extrema of Lévy processes

González Cázares, Jorge Ignacio; Mijatović, Aleksandar; … - In: Mathematics of operations research 47 (2022) 2, pp. 1141-1168

Persistent link: https://www.econbiz.de/10013365090

New control variates for pricing basket options

Jipreze, Kam; Date, Paresh - In: IMA journal of management mathematics 36 (2025) 1, pp. 111-133

Persistent link: https://www.econbiz.de/10015333130