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Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...
Persistent link: https://www.econbiz.de/10011506352
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A note on the suboptimality of path-dependent pay-offs in Lévy markets
Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; … - In: Applied mathematical finance 16 (2009) 3/4, pp. 315-330
Persistent link: https://www.econbiz.de/10003916188
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
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A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: Applied mathematical finance 14 (2007) 5, pp. 365-399
Persistent link: https://www.econbiz.de/10003637449
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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Comment on "Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes" by C. Ribeiro and N. Webber
Becker, Martin - In: Applied mathematical finance 17 (2010) 1/2, pp. 133-146
Persistent link: https://www.econbiz.de/10003975363
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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A simple derivation of and improvements to Jamshidian's and Roger's upper bound methods for Bermudan options
Joshi, Mark S. - In: Applied mathematical finance 14 (2007) 3, pp. 197-205
Persistent link: https://www.econbiz.de/10003542984
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Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes
Ribeiro, Claudia; Webber, Nick - In: Applied mathematical finance 13 (2006) 4, pp. 333-352
Persistent link: https://www.econbiz.de/10003396211