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Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
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A new Monte Carlo method for American options
Milʹstejn, Grigorij N.; Reiß, O.; Schoenmakers, John - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 591-614
Persistent link: https://www.econbiz.de/10002171485
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Systematic generation of parametric correlation structures for the LIBOR market model
Schoenmakers, John; Coffey, Brian - In: International journal of theoretical and applied finance 6 (2003) 5, pp. 507-519
Persistent link: https://www.econbiz.de/10001787582
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Monte Carlo evaluation of American options using consumption processes
Belomestny, Denis; Milʹstejn, Grigorij N. - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 455-481
Persistent link: https://www.econbiz.de/10003347377
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Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis; Härdle, Wolfgang; Krymova, Ekaterina - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-21
Persistent link: https://www.econbiz.de/10011734146