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Applied mathematical finance
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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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.
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Applied mathematical finance
14
(
2007
)
3
,
pp. 197-205
Persistent link: https://www.econbiz.de/10003542984
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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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