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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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Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi - In: Review of derivatives research 24 (2021) 2, pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
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Exact solutions for bond and option prices with systematic jump risk
Das, Sanjiv R. - In: Review of derivatives research 1 (1996) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10001205606
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The valuation and behavior of black-scholes options subject to intertemporal default risk
Rich, Don R. - In: Review of derivatives research 1 (1996) 1, pp. 25-59
Persistent link: https://www.econbiz.de/10001205608
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On pricing kernels and finite-state variable health Jarrow Morton models
Pennacchi, George G. - In: Review of derivatives research 1 (1996) 1, pp. 87-99
Persistent link: https://www.econbiz.de/10001205609
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Optimal investment and production decisions and the value of the firm
Cortazar, Gonzalo - In: Review of derivatives research 2 (1998) 1, pp. 39-57
Persistent link: https://www.econbiz.de/10001250188
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American bond option pricing in one-factor dynamic term structure models
Løchte Jørgensen, Peter - In: Review of derivatives research 1 (1996) 3, pp. 245-267
Persistent link: https://www.econbiz.de/10001238753
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Discrete-time bond and option pricing for jump-diffusion processes
Das, Sanjiv R. - In: Review of derivatives research 1 (1996) 3, pp. 211-243
Persistent link: https://www.econbiz.de/10001238754