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Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo; Caramellino, Lucia; Iovino, Maria Gabriella - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001444185
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Multilevel Monte Carlo for exponential Lévy models
Giles, Michael B.; Xia, Yuan - In: Finance and stochastics 21 (2017) 4, pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462
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MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.; Li, Haitao; Wells, Martin T. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
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True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10003818229
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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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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
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Dual pricing of multi-exercise options under volume constraints
Bender, Christian - In: Finance and stochastics 15 (2011) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10008824146