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On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
Moreno, Manuel; Navas, Javier F. - In: Review of derivatives research 6 (2003) 2, pp. 107-128
Persistent link: https://www.econbiz.de/10001857659
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On improving the least squares Monte Carlo option valuation method
Areal, Nelson; Rodrigues, Artur; Rocha Armada, Manuel da - In: Review of derivatives research 11 (2008) 1/2, pp. 119-151
Persistent link: https://www.econbiz.de/10003829564
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Assessing the least squares Monte-Carlo approach to American option valuation
Stentoft, Lars - In: Review of derivatives research 7 (2004) 2, pp. 129-168
Persistent link: https://www.econbiz.de/10003153995
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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
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Path-dependent game options : a lookback case
Guo, Peidong; Chen, Qihong; Guo, Xicai; Fang, Yue - In: Review of derivatives research 17 (2014) 1, pp. 113-124
Persistent link: https://www.econbiz.de/10010519293
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Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
Chan, Tat Lung; Hubbert, Simon - In: Review of derivatives research 17 (2014) 2, pp. 161-189
Persistent link: https://www.econbiz.de/10010529637
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Analytical pricing of American options
Cheng, Jun; Zhang, Jin E. - In: Review of derivatives research 15 (2012) 2, pp. 157-192
Persistent link: https://www.econbiz.de/10009629059
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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
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Optimal exercise of American put options near maturity : a new economic perspective
Battauz, Anna; De Donno, Marzia; Gajda, Janusz; Sbuelz, … - In: Review of derivatives research 25 (2022) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10013191376
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Approaching rainfall-based weather derivatives pricing and operational challenges
Martínez Salgueiro, Andrea; Tarrazón Rodón, … - In: Review of derivatives research 23 (2020) 2, pp. 163-190
Persistent link: https://www.econbiz.de/10012229790