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subject:"Derivat"
~person:"Kolb, Robert W."
~person:"Tang, Robert"
~subject:"Hedging"
~subject:"Theory"
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Search: subject_exact:"Option trading"
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Derivat
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Optionsgeschäft
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Kolb, Robert W.
Tang, Robert
Hull, John
28
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14
Kelly, Bryan T.
13
Madan, Dilip B.
13
Wang, Xingchun
13
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9
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9
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9
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8
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8
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8
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8
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8
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8
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ECONIS (ZBW)
14
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1
Effective Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies
Joshi, Mark S.
-
2013
We present a new non-nested approach to computing additive upper bounds for callable derivatives using Monte Carlo simulation. It relies on the regression of Greeks computed using adjoint methods. We also show that it is is possible to early terminate paths once points of optimal exercise have...
Persistent link: https://www.econbiz.de/10013090709
Saved in:
2
Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong
;
Joshi, Mark S.
;
Tang, Robert
;
Chao Yang
-
2008
Persistent link: https://www.econbiz.de/10003797820
Saved in:
3
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
4
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
5
Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
Saved in:
6
Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong
;
Joshi, Mark S.
;
Tang, Robert
;
Chao Yang
- In:
The journal of futures markets
29
(
2009
)
9
,
pp. 826-839
Persistent link: https://www.econbiz.de/10003900848
Saved in:
7
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
Saved in:
8
Futures, options, and swaps
Kolb, Robert W.
;
Overdahl, James A.
-
2007
-
5th ed.
Persistent link: https://www.econbiz.de/10003301773
Saved in:
9
Futures, options, and swaps
Kolb, Robert W.
-
2003
-
4. ed.
Persistent link: https://www.econbiz.de/10001658299
Saved in:
10
Options
Kolb, Robert W.
-
1997
-
3. ed
Persistent link: https://www.econbiz.de/10000962346
Saved in:
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