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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 40 (2014), pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
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Super-exponential growth expectations and the global financial crisis
Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier - In: Journal of economic dynamics & control 55 (2015), pp. 1-13
Persistent link: https://www.econbiz.de/10011587105
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Investment and uncertainty with time to build : evidence from entry into U.S. copper mining
Marmer, Vadim; Slade, Margaret Emily - In: Journal of economic dynamics & control 95 (2018), pp. 233-254
Persistent link: https://www.econbiz.de/10012004929
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Pricing derivatives with barriers in a stochastic interest rate environment
Bernard, Carole; Le Courtois, Olivier; Quittard-Pinon, … - In: Journal of economic dynamics & control 32 (2008) 9, pp. 2903-2938
Persistent link: https://www.econbiz.de/10003775152
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A lattice algorithm for pricing moving average barrier options
Dai, Min; Li, Peifan; Zhang, Jin E. - In: Journal of economic dynamics & control 34 (2010) 3, pp. 542-554
Persistent link: https://www.econbiz.de/10003966493
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Pricing Parisian and Parasian options analytically
Zhu, Song-ping; Chen, Wen-ting - In: Journal of economic dynamics & control 37 (2013) 4, pp. 875-896
Persistent link: https://www.econbiz.de/10009726170
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Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
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Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632
Persistent link: https://www.econbiz.de/10009710479