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Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 117-152
Persistent link: https://www.econbiz.de/10001372181
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Efficient computation of hedging portfolios for options with discontinuous payoffs
Cvitanić, Jakša; Ma, Jin; Jianfeng Zhang - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 135-151
Persistent link: https://www.econbiz.de/10001765668
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Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
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A closed-form exact solution for pricing variance swaps with stochastic volatility
Zhu, Song-ping; Lian, Guang-hua - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 233-256
Persistent link: https://www.econbiz.de/10008935680
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True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10003818229
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Monte Carlo method for the valuation of multiple-exercise options
Meinshausen, Nicolai; Hambly, Ben - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 557-583
Persistent link: https://www.econbiz.de/10002396369
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On the error in the Monte Carlo pricing of some familiar European path-dependent options
Hörfelt, Per - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 345-357
Persistent link: https://www.econbiz.de/10002725503
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Monte Carlo valuation of American options
Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 271-286
Persistent link: https://www.econbiz.de/10001686397
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Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10001765655
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Valuation by simulation of contingent claims with multiple early exercise opportunities
Ibáñez, Alfredo - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 223-248
Persistent link: https://www.econbiz.de/10002032694