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Implied stopping rules for American basket options from Markovian projection
Bayer, Christian; Häppölä, Juho; Tempone, Raúl - In: Quantitative finance 19 (2019) 3, pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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Real options under a double exponential jump-diffusion model with regime switching and partial information
Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun - In: Quantitative finance 19 (2019) 6, pp. 1061-1073
Persistent link: https://www.econbiz.de/10012194743
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The QLBS Q-Learner goes NuQLear : fitted Q iteration, inverse RL, and option portfolios
Halperin, Igor - In: Quantitative finance 19 (2019) 9, pp. 1543-1553
Persistent link: https://www.econbiz.de/10012194805
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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
Hu, Xiaobo; Xue, Jungong; Yu, Xiandi - In: Quantitative finance 22 (2022) 9, pp. 1693-1716
Persistent link: https://www.econbiz.de/10013367941
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Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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Pricing black-scholes options with correlated credit risk and jump risk
Xu, Weidong; Xu, Weijun; Xiao, Weilin - In: Applied economics letters 22 (2015) 1/3, pp. 87-93
Persistent link: https://www.econbiz.de/10010482058
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Default probability anomalies in the momentum startegies
Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied economics letters 21 (2014) 16/18, pp. 1206-1209
Persistent link: https://www.econbiz.de/10010465679
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Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives
Chen, A.-S.; Shen, P.-F. - In: Applied economics letters 10 (2003) 4, pp. 223-229
Persistent link: https://www.econbiz.de/10001748973