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Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
Fukasawa, Masaaki; Hirano, Asuto - In: Quantitative finance 21 (2021) 7, pp. 1127-1146
Persistent link: https://www.econbiz.de/10012588025
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JDOI variance reduction method and the pricing of American-style options
Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
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Variance reduction techniques of importance sampling Monte Carlo methods for pricing options
Zhao, Qiang; Liu, Guo; Gu, Guiding - In: Journal of mathematical finance 3 (2013) 4, pp. 431-436
Persistent link: https://www.econbiz.de/10010239518
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Generalized option betas
Husmann, Sven; Todorova, Neda - In: Journal of mathematical finance 3 (2013) 3, pp. 347-356
Persistent link: https://www.econbiz.de/10010239545
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Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: Journal of mathematical finance 3 (2013) 1, pp. 10-32
Persistent link: https://www.econbiz.de/10010240231
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The role of collateral in credit markets
Atta-Mensah, Joseph - In: Journal of mathematical finance 5 (2015) 4, pp. 315-327
Persistent link: https://www.econbiz.de/10011438563
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A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323
Persistent link: https://www.econbiz.de/10011544516
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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521