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A Markov-chain sampling algorithm for GARCH models

Nakatsuma, Teruo (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 107-117

Persistent link: https://www.econbiz.de/10001769705

Sur les obligations convertibles à clause de remboursement anticipé au gré de l'émetteur

André-Le Pogamp, Florence; Moraux, Franck - In: Finance : revue de l'Association Française de Finance 24 (2003) 1, pp. 7-28

Persistent link: https://www.econbiz.de/10001771585

La fiabilité des informations extraites d'estimations paramétriques de densités neutres au risque

Bellando, Raphaëlle; Colletaz, Gilbert - In: Finance : revue de l'Association Française de Finance 24 (2003) 1, pp. 29-48

Persistent link: https://www.econbiz.de/10001771592

Options: a Monte Carlo approach

Boyle, Phelim P. - In: Options : classic approaches to pricing and modelling, (pp. 233-248). 1999

Persistent link: https://www.econbiz.de/10001772457

A pricing method for options based on average asset values

Kemna, A. G. Z.; Vorst, Ton - In: Options : classic approaches to pricing and modelling, (pp. 345-360). 1999

Persistent link: https://www.econbiz.de/10001772465

Sequential monitoring of the parameters of a one-factor Cox-Ingersoll-Ross model

Schmid, Wolfgang; Tzotchev, Dobromir - 2003

Persistent link: https://www.econbiz.de/10001774748

Exact tests and confidence sets for the tail coefficient of α-stable distributions

Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003

of confidence interval for estimates is usually based. Statistical theory for the MC method is given. A simulation study …

Persistent link: https://www.econbiz.de/10001818512

The decision to work, to search or to withdraw when markets are incomplete

Maidorn, Susanne - 2003

Persistent link: https://www.econbiz.de/10001820989

Monte Carlo methods for pricing and hedging American options

Milʹstejn, Grigorij N.; Reiß, Oliver; Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2003

We introduce a new Monte Carlo method for constructing the exercise boundary of an American option in a generalized Black-Scholes framework. Based on a known exercise boundary, it is shown how to price and hedge the American option by Monte Carlo simulation of suitable probabilistic...

Persistent link: https://www.econbiz.de/10001802364

Two stage quantile regression when the first stage is based on quantile regression

Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835514