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PRICING PATH-DEPENDENT OPTIONS...
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option pricing
349
Optionspreistheorie
156
Option pricing theory
135
Option pricing
116
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94
Stochastischer Prozess
58
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57
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54
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43
stochastic volatility
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Guegan, Dominique
10
Ielpo, Florian
10
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10
Lord, Roger
9
Calzolari, Giorgio
8
Härdle, Wolfgang
8
Kahl, Christian
8
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7
Yu, Jun
7
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6
Fulop, Andras
6
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6
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6
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6
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6
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6
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5
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5
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5
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5
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5
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4
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4
Bieta, Volker
4
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4
Einmahl, John H. J.
4
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4
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4
Härdle, Wolfgang Karl
4
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4
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4
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4
Malz, Allan M.
4
Maré, Eben
4
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4
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4
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
37
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28
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15
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15
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11
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10
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9
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8
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5
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5
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4
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4
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4
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4
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
4
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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2
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
2
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MPRA Paper
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IMF Working Papers
27
Risks : open access journal
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15
Journal of Risk and Financial Management
11
Risks
11
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11
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10
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9
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RePEc
356
ECONIS (ZBW)
161
EconStor
96
BASE
30
USB Cologne (business full texts)
13
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1
A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
Heath, David
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2014
This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...
Persistent link: https://www.econbiz.de/10010888484
Saved in:
2
A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.
;
Platen, Eckhard
-
2014
Persistent link: https://www.econbiz.de/10011344801
Saved in:
3
Variance reduction methods at the pricing of weather options
Raimova, Gulnora
- In:
Applied Econometrics
21
(
2011
)
1
,
pp. 3-15
Paper is devoted to various ways of variance reduction for estimation of the price of a weather option on an example based on the model of daily average temperature
Persistent link: https://www.econbiz.de/10009018550
Saved in:
4
Model risk for barrier options when priced under different lévy dynamics
Mbakwe, Chidnima
-
2011
Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.
Persistent link: https://www.econbiz.de/10009429599
Saved in:
5
Calculation aspects of the European Rebalanced Basket Option using Monte Carlo methods
Van der Merwe, Carel Johannes
-
2010
ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix ofassets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixedproportions on a regular basis. This is done by selling the better performing assets...
Persistent link: https://www.econbiz.de/10009442047
Saved in:
6
Acceptance sampling for attributes via hypothesis testing and the
hypergeometric
distribution
Samohyl, Robert Wayne
- In:
Journal of Industrial Engineering International
14
(
2018
)
2
,
pp. 395-414
. First, by suggesting the use of the
hypergeometric
distribution to calculate the parameters of sampling plans avoiding the …, discrepancies can be large. The conclusion is that the
hypergeometric
distribution, ubiquitously available in commonly used software …
Persistent link: https://www.econbiz.de/10011995844
Saved in:
7
On Some Distributions Arising from Certain Generalized Sampling Schemes
Panaretos, John
;
Xekalaki, Evdokia
-
Volkswirtschaftliche Fakultät, …
-
1986
, the
hypergeometric
, negative
hypergeometric
, logarithmic series, generalized Waring, Polya and inverse Polya distributions …
Persistent link: https://www.econbiz.de/10005787191
Saved in:
8
Global Networks of Trade and Bits
Riccaboni, Massimo
;
Rossi, Alessandro
;
Schiavo, Stefano
-
Dipartimento di Economia e Management, Università …
-
2011
common null model for the number of connections among each country-pair, based on the
hypergeometric
distribution. Original …
Persistent link: https://www.econbiz.de/10009319141
Saved in:
9
A Bayesian analysis of racial differences in treatment among breast-cancer patients
Nandram, Balgobin
;
Bhadra, Dhiman
;
Liu, Yiwei
-
2015
Persistent link: https://www.econbiz.de/10010510764
Saved in:
10
Acceptance sampling for attributes via hypothesis testing and the
hypergeometric
distribution
Samohyl, Robert Wayne
- In:
Journal of industrial engineering international
14
(
2018
)
2
,
pp. 395-414
. First, by suggesting the use of the
hypergeometric
distribution to calculate the parameters of sampling plans avoiding the …, discrepancies can be large. The conclusion is that the
hypergeometric
distribution, ubiquitously available in commonly used software …
Persistent link: https://www.econbiz.de/10011871320
Saved in:
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