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General multilevel Monte Carlo methods for pricing discretely monitored Asian options
Kahalé, Nabil - In: European journal of operational research : EJOR 287 (2020) 2, pp. 739-748
Persistent link: https://www.econbiz.de/10012293946
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An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
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Optimal search for parameters in Monte Carlo simulation for derivative pricing
Wang, Chuan-Ju; Kao, Ming-Yang - In: European journal of operational research : EJOR 249 (2016) 2, pp. 683-690
Persistent link: https://www.econbiz.de/10011436827
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An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, Mark S.; Zhu, Dan - In: European journal of operational research : EJOR 254 (2016) 3, pp. 875-888
Persistent link: https://www.econbiz.de/10011521858
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A general control variate method for Lévy models in finance
Shiraya, Kenichiro; Uenishi, Hiroki; Yamazaki, Akira - In: European journal of operational research : EJOR 284 (2020) 3, pp. 1190-1200
Persistent link: https://www.econbiz.de/10012238947
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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
Xie, Fei; He, Zhijian; Wang, Xiaoqun - In: European journal of operational research : EJOR 274 (2019) 2, pp. 759-772
Persistent link: https://www.econbiz.de/10011990222
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Generic improvements to least squares monte carlo methods with applications to optimal stopping problems
Wei, Wei; Zhu, Dan - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1132-1144
Persistent link: https://www.econbiz.de/10013206929
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Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
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An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
Weng, Chengfeng; Wang, Xiaoqun; He, Zhijian - In: European journal of operational research : EJOR 254 (2016) 1, pp. 304-311
Persistent link: https://www.econbiz.de/10011503307
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Comparison of least squares Monte Carlo methods with applications to energy real options
Nadarajah, Selvaprabu; Margot, François; Secomandi, Nicola - In: European journal of operational research : EJOR 256 (2017) 1, pp. 196-204
Persistent link: https://www.econbiz.de/10011611249