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A modified least-squares simulation approach to value American barrier options
Zhang, Lihua; Zhang, Weiguo; Xu, Weijun; Shi, Xiang - In: Computational economics 44 (2014) 4, pp. 489-506
Persistent link: https://www.econbiz.de/10010489859
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An integrated Quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
He, Zhijian; Wang, Xiaoqun - In: Computational economics 57 (2021) 2, pp. 693-718
Persistent link: https://www.econbiz.de/10012486953
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Xiao, Ye; Wang, Xiaoqun - In: Computational economics 54 (2019) 1, pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
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Fast Monte Carlo simulation for pricing equity-linked securities
Jang, Hanbyeol; Kim, Sangkwon; Han, Junhee; Lee, Seongjin; … - In: Computational economics 56 (2020) 4, pp. 865-882
Persistent link: https://www.econbiz.de/10012390481
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A semi-closed form approximation of arbitrage‑free call option price surface
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 63 (2024) 4, pp. 1431-1457
Persistent link: https://www.econbiz.de/10014549032
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Valuation of R&D investment opportunities with the threat of compentitors entry in real option analysis
Villani, Giovanni - In: Computational economics 43 (2014) 3, pp. 330-355
Persistent link: https://www.econbiz.de/10010258806
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A neural network approach to value R&D compound american exchange option
Villani, Giovanni - In: Computational economics 60 (2022) 1, pp. 305-324
Persistent link: https://www.econbiz.de/10013262680
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Increment variance reduction techniques with an application to multi-name credit derivatives
Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Computational economics 55 (2020) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10012222571
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Reducing overcapacity in China's coal industry : a real option approach
Wu, Wei; Lin, Boqiang - In: Computational economics 55 (2020) 4, pp. 1073-1093
Persistent link: https://www.econbiz.de/10012223699