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Search: subject_exact:"Monte Carlo method"
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Monte Carlo simulation
22
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Stochastic process
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Finance research letters
Journal of econometrics
133
Discussion paper / Tinbergen Institute
94
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66
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65
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Physica A: Statistical Mechanics and its Applications
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ECONIS (ZBW)
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1
A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark
;
Stentoft, Lars
;
Zhu, Xiaotian
- In:
Finance research letters
64
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
Saved in:
2
Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time
Li, Bogui
;
Chen, Hao
- In:
Finance research letters
59
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014445336
Saved in:
3
Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?
Li, Chenxing
;
Zhang, Zehua
;
Zhao, Ran
- In:
Finance research letters
67
(
2024
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10015062448
Saved in:
4
Uncertainty in systemic risks rankings : Bayesian and frequentist analysis
Goldman, Elena
- In:
Finance research letters
56
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014473601
Saved in:
5
The generalized Vasicek credit risk model : a machine learning approach
García-Céspedes, Rubén
;
Moreno, Manuel
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013459154
Saved in:
6
Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
Finance research letters
44
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014494891
Saved in:
7
Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda
;
León, Ángel
;
Ñíguez, Trino-Manuel
- In:
Finance research letters
43
(
2021
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014633484
Saved in:
8
Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi
;
Lai, Yongzeng
;
Li, Lin
;
Tan, Vinna
- In:
Finance research letters
34
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
Saved in:
9
Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu
;
Wang, Xiaona
- In:
Finance research letters
34
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
Saved in:
10
Evaluating alternative methods of asset pricing based on the overall magnitude of pricing errors
Shi, Qi
;
Li, Bin
- In:
Finance research letters
29
(
2019
),
pp. 125-128
Persistent link: https://www.econbiz.de/10012417985
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