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~person:"Guirguis, Michel"
~person:"Joshi, Mark S."
~person:"Kwok, Yue-Kuen"
~type_genre:"Article in journal"
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Option trading
20
Optionsgeschäft
20
Option pricing theory
17
Optionspreistheorie
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Theorie
9
Theory
9
Derivat
5
Derivative
5
Monte Carlo simulation
4
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1
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Guirguis, Michel
Joshi, Mark S.
Kwok, Yue-Kuen
Ryu, Doojin
24
Wang, Xingchun
22
Zhang, Jin E.
18
Carr, Peter
16
Lee, Hangsuck
15
Kang, Jangkoo
12
Cui, Zhenyu
11
Zanette, Antonino
11
Lung, Peter P.
10
Madan, Dilip B.
10
Wu, Liuren
10
Chang, Chuang-chang
9
Doran, James S.
9
Escobar, Marcos
9
Fodor, Andy
9
Fusai, Gianluca
9
Schoutens, Wim
9
Cai, Ning
8
He, Xin-Jiang
8
Kirkby, J. Lars
8
Orosi, Greg
8
Poteshman, Allen M.
8
Ruan, Xinfeng
8
Siu, Tak Kuen
8
Truong, Cameron
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Yang, Heejin
8
Benth, Fred Espen
7
Dai, Min
7
Elliott, Robert J.
7
Hobson, David G.
7
Kim, Sol
7
Lee, Minha
7
Ronn, Ehud I.
7
Stentoft, Lars
7
Takahashi, Akihiko
7
Wei, Jason
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6
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International journal of theoretical and applied finance
5
Applied mathematical finance
3
Journal of economic dynamics & control
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
The journal of futures markets
2
Asia-Pacific financial markets
1
Journal of financial engineering
1
Journal of risk
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Operations research letters
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ECONIS (ZBW)
20
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1
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan
;
Zeng, Pingping
;
Kwok, Yue-Kuen
- In:
Operations research letters
51
(
2023
)
6
,
pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
Saved in:
2
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:
3
Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
Saved in:
4
Game option models of convertible bonds : determinants of call policies
Kwok, Yue-Kuen
- In:
Journal of financial engineering
1
(
2014
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010507972
Saved in:
5
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:
6
Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
Fries, Christian P.
;
Joshi, Mark S.
- In:
International journal of theoretical and applied finance
14
(
2011
)
2
,
pp. 197-219
Persistent link: https://www.econbiz.de/10008992179
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
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
Saved in:
8
The convergence of binomial trees for pricing the American put
Joshi, Mark S.
- In:
Journal of risk
11
(
2008/09
)
4
,
pp. 87-108
Persistent link: https://www.econbiz.de/10003881606
Saved in:
9
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:
10
Optimal policies of call with notice period requirement
Dai, Min
;
Kwok, Yue-Kuen
- In:
Asia-Pacific financial markets
12
(
2005
)
4
,
pp. 353-373
Persistent link: https://www.econbiz.de/10003496713
Saved in:
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