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JDOI variance reduction method and the pricing of American-style options
Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
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Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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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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A fast algorithm for simulation of rough volatility models
Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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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
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Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 19 (2019) 10, pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
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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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SABR equipped with AI wings
Funahashi, Hideharu - In: Quantitative finance 23 (2023) 2, pp. 229-249
Persistent link: https://www.econbiz.de/10014232624