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Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo; Robertson, Scott - In: Finance and stochastics 12 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003592542
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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Quasi-Monte Carlo methods with applications in finance
L'Ecuyer, Pierre - In: Finance and stochastics 13 (2009) 3, pp. 307-349
Persistent link: https://www.econbiz.de/10003899308
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.; Higham, Desmond J.; Mao, Xuerong - In: Finance and stochastics 13 (2009) 3, pp. 403-413
Persistent link: https://www.econbiz.de/10003899321
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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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American Parisian options
Chesney, Marc; Gauthier, Laurent - In: Finance and stochastics 10 (2006) 4, pp. 475-506
Persistent link: https://www.econbiz.de/10003405643
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Pricing options under stochastic volatility : a power series approach
Antonelli, Fabio; Scarlatti, Sergio - In: Finance and stochastics 13 (2009) 2, pp. 269-303
Persistent link: https://www.econbiz.de/10003939521
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Unbiased and efficient Greeks of financial options
Lyuu, Yuh-dauh; Teng, Huei-wen - In: Finance and stochastics 15 (2011) 1, pp. 141-181
Persistent link: https://www.econbiz.de/10008824129