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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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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
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Chebyshev interpolation for parametric option pricing
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; … - In: Finance and stochastics 22 (2018) 3, pp. 701-731
Persistent link: https://www.econbiz.de/10011945899
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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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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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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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Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
Zanger, Daniel Z. - In: Finance and stochastics 17 (2013) 3, pp. 503-534
Persistent link: https://www.econbiz.de/10009756026
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Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-49
Persistent link: https://www.econbiz.de/10003234943