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State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min; Liao, Szu-Lang; Chen, Jun-Home - In: The North American journal of economics and finance : a … 33 (2015), pp. 115-133
Persistent link: https://www.econbiz.de/10011534881
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Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options
Liu, Qiang; Guo, Shuxin - In: The North American journal of economics and finance : a … 28 (2014), pp. 77-89
Persistent link: https://www.econbiz.de/10010461176
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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
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Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
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Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models
Zhang, Ling; Lai, Yongzeng; Zhang, Shuhua; Li, Lin - In: The North American journal of economics and finance : a … 47 (2019), pp. 602-621
Persistent link: https://www.econbiz.de/10012120139
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Pricing of vulnerable options with early counterparty credit risk
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 47 (2019), pp. 645-656
Persistent link: https://www.econbiz.de/10012120148
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Pricing of vulnerable exchange options with early counterparty credit risk
Kim, Donghyun; Kim, Geonwoo; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013413573
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Option pricing with the control variate technique beyond Monte Carlo simulation
Chiu, Chun-Yuan; Dai, Tian-Shyr; Lyuu, Yuh-dauh; Liu, … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013539074
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Term structure estimation in the presence of autocorrelation
Juneja, Januj - In: The North American journal of economics and finance : a … 28 (2014), pp. 119-129
Persistent link: https://www.econbiz.de/10010461168
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The mechanics of VAR forecast pooling : a DSGE model based Monte Carlo study
Henzel, Steffen R.; Mayr, Johannes - In: The North American journal of economics and finance : a … 24 (2013), pp. 1-24
Persistent link: https://www.econbiz.de/10009739700