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Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
Fries, Christian P.; Joshi, Mark S. - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 197-219
Persistent link: https://www.econbiz.de/10008992179
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Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
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The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Beveridge, Christopher; Joshi, Mark S. - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-47
Persistent link: https://www.econbiz.de/10010363971