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Truncation and accerleration of the Tian tree for the pricing of American put options
Chen, Ting; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806595
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Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806621
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Fast sensitivity computations for Monte Carlo valuation of pension funds
Joshi, Mark S.; Pitt, David C. - 2009
Persistent link: https://www.econbiz.de/10003924234
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Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - 2009
Persistent link: https://www.econbiz.de/10003924345
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Monte Carlo bounds for callable products with non-analytic break costs
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297269
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A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297275