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Smoothing the payoff for efficient computation of basket option prices
Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul - In: Quantitative finance 18 (2018) 3, pp. 491-505
Persistent link: https://www.econbiz.de/10011906403
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Pricing high-dimensional American options by kernel ridge regression
Hu, Wenbin; Zastawniak, Tomasz - In: Quantitative finance 20 (2020) 5, pp. 851-865
Persistent link: https://www.econbiz.de/10012262630
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Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan; Pakkanen, Mikko S. - In: Quantitative finance 18 (2018) 11, pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian; Redmann, Martin; Schoenmakers, John - In: Quantitative finance 21 (2021) 1, pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
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Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
Xiang, Jiangming; Wang, Xiaoqun - In: Quantitative finance 20 (2020) 10, pp. 1701-1720
Persistent link: https://www.econbiz.de/10012313503
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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 20 (2020) 9, pp. 1457-1473
Persistent link: https://www.econbiz.de/10012295614
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Implied stopping rules for American basket options from Markovian projection
Bayer, Christian; Häppölä, Juho; Tempone, Raúl - In: Quantitative finance 19 (2019) 3, pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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Calibration and advanced simulation schemes for the Wishart stochastic volatility model
La Bua, Gaetano; Marazzina, Daniele - In: Quantitative finance 19 (2019) 6, pp. 997-1016
Persistent link: https://www.econbiz.de/10012194737
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A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, … - In: Quantitative finance 19 (2019) 7, pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755