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Pricing double-barrier options under a flexible jump diffusion model
Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Operations research letters 37 (2009) 3, pp. 163-167
Persistent link: https://www.econbiz.de/10003903887
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Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Chen, Nan; Huang, Zhengyu - In: Operations research letters 40 (2012) 6, pp. 554-563
Persistent link: https://www.econbiz.de/10009717283
Cover Image
Pricing double-barrier options under a flexible jump diffusion model
Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Operations research letters 37 (2009) 3, pp. 163-167
Persistent link: https://www.econbiz.de/10008244844
Cover Image
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Chen, Nan; Huang, Zhengyu - In: Operations research letters 40 (2012) 6, pp. 554-564
Persistent link: https://www.econbiz.de/10010044483
Cover Image
Pricing double-barrier options under a flexible jump diffusion model
Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Operations research letters 37 (2009) 3, pp. 163-168
Persistent link: https://www.econbiz.de/10008891569