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A semi-closed form approximation of arbitrage‑free call option price surface
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 63 (2024) 4, pp. 1431-1457
Persistent link: https://www.econbiz.de/10014549032
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Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan; Pakkanen, Mikko S. - In: Quantitative finance 18 (2018) 11, pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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A modified stochastic volatility model based on Gamma Ornstein-Uhlenbeck process and option pricing
Mi, Yanhui - In: International journal of financial engineering 3 (2016) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011577132
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Valuation of barrier options using sequential Monte Carlo
Shevchenko, Pavel V.; Del Moral, Pierre - In: The journal of computational finance 20 (2016/2017) 4, pp. 107-135
Persistent link: https://www.econbiz.de/10011691638
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Pathwise dynamic programming
Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus - In: Mathematics of operations research 43 (2018) 3, pp. 965-995
Persistent link: https://www.econbiz.de/10011914390
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Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 23 (2023) 2, pp. 209-227
Persistent link: https://www.econbiz.de/10014232621
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Deep weighted Monte Carlo : a hybrid option pricing framework using neural networks
Kunsági-Máté, Sándor; Fáth, Gábor; Csabai, István; … - In: Quantitative finance 23 (2023) 4, pp. 615-629
Persistent link: https://www.econbiz.de/10014304287
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Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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Examining the efficiency of American put option pricing by Monte Carlo methods with variance reduction
Chang, George - In: International journal of economics and finance 10 (2018) 2, pp. 10-13
Persistent link: https://www.econbiz.de/10011814902