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First- and second-order Greeks in the Heston model
Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69
Persistent link: https://www.econbiz.de/10013262933
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The convergence of binomial trees for pricing the American put
Joshi, Mark S. - In: Journal of risk 11 (2008/09) 4, pp. 87-108
Persistent link: https://www.econbiz.de/10003881606
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Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.; Joshi, Mark S.; Wright, Will M. - In: Journal of risk 14 (2011/12) 4, pp. 65-113
Persistent link: https://www.econbiz.de/10009571595
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Monte Carlo market Greeks in the displaced diffusion Libor market model
Joshi, Mark S.; Kwon, Oh Kang - In: Journal of risk 14 (2011/12) 2, pp. 23-37
Persistent link: https://www.econbiz.de/10009422363