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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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Option implied risk-neutral density estimation : a robust and flexible method
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 54 (2019) 2, pp. 705-728
Persistent link: https://www.econbiz.de/10012134345
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A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae; Yoo, Minhyun; Yoo, Changwoo; Kim, Junseok - In: Computational economics 53 (2019) 1, pp. 111-124
Persistent link: https://www.econbiz.de/10012134544
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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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
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Robust Monte Carlo method for R&D real options valuation
Biancardi, Marta Elena; Villani, Giovanni - In: Computational economics 49 (2017) 3, pp. 481-498
Persistent link: https://www.econbiz.de/10011762124
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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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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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Analytic method for pricing vulnerable external barrier options
Kim, Donghyun; Yoon, Ji-Hun - In: Computational economics 61 (2023) 4, pp. 1561-1591
Persistent link: https://www.econbiz.de/10014327071