Narrow search
Showing 1 - 10 of 257
Cover Image
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
Cover Image
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
Cover Image
A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre; Lund, Arne-Christian - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
Cover Image
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime; Kijima, Masaaki - In: Journal of economic dynamics & control 31 (2007) 11, pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
Cover Image
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Cover Image
Randomized quasi-Monte Carlo methods in pricing securities
Ökten, Giray; Eastman, Warren - In: Journal of economic dynamics & control 28 (2004) 12, pp. 2399-2426
Persistent link: https://www.econbiz.de/10002370021
Cover Image
Applications of randomized low discrepancy sequences to the valuation of complex securities
Tan, Ken Seng; Boyle, Phelim P. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1747-1782
Persistent link: https://www.econbiz.de/10001508772
Cover Image
Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
García, Diego - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1855-1879
Persistent link: https://www.econbiz.de/10001755436
Cover Image
Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
Cong, F.; Oosterlee, Cornelis Willebrordus - In: Journal of economic dynamics & control 64 (2016), pp. 23-38
Persistent link: https://www.econbiz.de/10011708209
Cover Image
Special double issue: Computational aspects of complex securities
Selby, Michael J. P. (contributor) - 2000
Persistent link: https://www.econbiz.de/10001507322