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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
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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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A new variance reduction technique for estimating value-at-risk
Korn, Ralf; Pupashenko, Mykhailo - In: Applied mathematical finance 22 (2015) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10010505164
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A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
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Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Dang, Duy Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza - In: Applied mathematical finance 22 (2015) 5/6, pp. 522-552
Persistent link: https://www.econbiz.de/10011490623
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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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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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Bias reduction for pricing American options by least-squares Monte Carlo
Kan, Kin Hung Felix; Reesor, R. Mark - In: Applied mathematical finance 19 (2012) 3/4, pp. 195-217
Persistent link: https://www.econbiz.de/10009711007
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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
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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