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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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A note on "Monte Carlo analysis of convertible bonds with reset clause"
Yang, Jingyang; Choi, Yoon; Li, Shenghong; Yu, Jinping - In: European journal of operational research : EJOR 200 (2009/10) 3, pp. 924-925
Persistent link: https://www.econbiz.de/10003892409
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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Asymptotic formulas for the derivates of probability functions and their Monte Carlo estimations
Garnier, Josselin; Omrane, Abdennebi; Rouchdy, Youssef - In: European journal of operational research : EJOR 198 (2009) 3, pp. 848-858
Persistent link: https://www.econbiz.de/10003857819
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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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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 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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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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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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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