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subject:"Monte-Carlo-Simulation"
~isPartOf:"Annals of operations research"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Quantitative finance"
~subject:"Experiment"
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Monte-Carlo-Simulation
Experiment
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32
Mathematical analysis
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Option pricing theory
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Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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Derivat
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stochastic differential equation
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American options
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information premium
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backward stochastic differential equation
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backward stochastic differential equations
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Wan, Justin W. L.
2
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1
Faidi, Wahid
1
Garces, Len Patrick Dominic M.
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Veerapaneni, Shravan
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Annals of operations research
International journal of theoretical and applied finance
Quantitative finance
The journal of computational finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Risks : open access journal
4
Journal of mathematical finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
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European journal of operational research : EJOR
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Review of economic studies and research Virgil Madgearu
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The econometrics journal
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ECONIS (ZBW)
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1
Quantum-inspired variational algorithms for partial differential equations : application to financial derivative pricing
Zhao, Tianchen
;
Sun, Chuhao
;
Cohen, Asaf
;
Stokes, James
; …
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10014551890
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2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.
;
Wan, Justin W. L.
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
Saved in:
3
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
Saved in:
4
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang
;
Wan, Justin W. L.
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
Saved in:
5
Options on a traded account : symmetric treatment of the underlying assets
Večeř, Jan
;
Kampen, Joerg
;
Navratil, Robert
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 37-47
Persistent link: https://www.econbiz.de/10012194853
Saved in:
6
Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
Cheang, Gerald H. L.
;
Garces, Len Patrick Dominic M.
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 291-310
Persistent link: https://www.econbiz.de/10012194867
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7
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
Saved in:
8
Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Kouritzin, Michael A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011846484
Saved in:
9
Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid
;
Matoussi, Anis
;
Mnif, Mohamed
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
Saved in:
10
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
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