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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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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
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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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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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4
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
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