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A technique for reducing discretization bias from Monte Carlo simulations : option pricing under stochastic interest rates
Lindset, Snorre; Lund, Arne-Christian - In: The European journal of finance 13 (2007) 5/6, pp. 545-564
Persistent link: https://www.econbiz.de/10003570611
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
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Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
Corrado, Charles Joseph - In: The European journal of finance 3 (1997) 1, pp. 73-85
Persistent link: https://www.econbiz.de/10001219143
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Pricing Parisians and barriers by hitting time simulation
Anderluh, J. H. M. - In: The European journal of finance 14 (2008) 1/2, pp. 137-156
Persistent link: https://www.econbiz.de/10003744737
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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Monte Carlo methods for pricing discrete Parisian options
Bernard, Carole; Boyle, Phelim P. - In: The European journal of finance 17 (2011) 3/4, pp. 169-196
Persistent link: https://www.econbiz.de/10009155447
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Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
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The value of switching inputs in a biodiesel production plant
Brandão, Luiz Eduardo Teixeira; Penedo, Gilberto Master; … - In: The European journal of finance 19 (2013) 7/8, pp. 674-688
Persistent link: https://www.econbiz.de/10010244742
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A guide to FX options quoting conventions
Reiswich, Dimitri; Wystup, Uwe - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 58-68
Persistent link: https://www.econbiz.de/10008771850