Narrow search
Showing 1 - 10 of 14
Cover Image
Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo; Caramellino, Lucia; Iovino, Maria Gabriella - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001444185
Cover Image
On the cost of delayed currency fixing announcements
Becker, Christoph; Wystup, Uwe - In: Annals of finance 5 (2009) 2, pp. 161-174
Persistent link: https://www.econbiz.de/10003812515
Cover Image
MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.; Li, Haitao; Wells, Martin T. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
Cover Image
True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10003818229
Cover Image
Displaced lognormal volatility skews : analysis and applications to stochastic volatility simulations
Lee, Roger; Wang, Dan - In: Annals of finance 8 (2012) 2/3, pp. 159-181
Persistent link: https://www.econbiz.de/10009548134
Cover Image
Monte Carlo method for the valuation of multiple-exercise options
Meinshausen, Nicolai; Hambly, Ben - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 557-583
Persistent link: https://www.econbiz.de/10002396369
Cover Image
On the error in the Monte Carlo pricing of some familiar European path-dependent options
Hörfelt, Per - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 345-357
Persistent link: https://www.econbiz.de/10002725503
Cover Image
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 117-152
Persistent link: https://www.econbiz.de/10001372181
Cover Image
Monte Carlo valuation of American options
Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 271-286
Persistent link: https://www.econbiz.de/10001686397
Cover Image
Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10001765655