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Achieving smooth asymptotics for the prices of European options in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632920
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Achieving higher order convergence for the prices of European pptions in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632930
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Optimal limit methods for computing sensitivities of discontinious integrals including triggerable derivative securities
Chan, Jiun Hong; Joshi, Mark S. - 2012
Persistent link: https://www.econbiz.de/10009553205
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The convergence of binomial trees for pricing the American put
Joshi, Mark S. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003797784
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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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
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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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First and second order Greeks in the Heston model
Chan, Jiun Hong; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806607
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Fast and accurate long stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806610
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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