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Importance sampling for jump processes and applications to finance
Badouraly Kassim, Laetitia; Lelong, Jérôme; … - In: The journal of computational finance 19 (2015/2016) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
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Monte Carlo payoff smoothing for pricing autocallable instruments
Koster, Frank; Rehmet, Achim - In: The journal of computational finance 21 (2017/2018) 4, pp. 59-77
Persistent link: https://www.econbiz.de/10011848407
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Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
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Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang; Jönsson, Henrik; Oosterlee, Cornelis W.; … - In: The journal of computational finance 14 (2010/11) 2, pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
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Pricing credit default swaps under Lévy models
Cariboni, Jessica; Schoutens, Wim - In: The journal of computational finance 10 (2006/07) 4, pp. 71-91
Persistent link: https://www.econbiz.de/10003542263
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Pricing kth-to-default swaps under default contagion: the matrix analytic approach
Herbertsson, Alexander; Rootzén, Holger - In: The journal of computational finance 12 (2008) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10009534635
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Unbiased Monte Carlo valuation of lookback, swing and barrier options with continous monitoring under variance gamma models
Becker, Martin - In: The journal of computational finance 13 (2009/10) 4, pp. 35-61
Persistent link: https://www.econbiz.de/10003996072
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Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G. - In: The journal of computational finance 11 (2007/08) 3, pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
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Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Fries, Christian P.; Joshi, Mark S. - In: The journal of computational finance 11 (2007/08) 3, pp. 79-106
Persistent link: https://www.econbiz.de/10003700003
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The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien; Henry-Labordère, Pierre - In: The journal of computational finance 14 (2010/11) 3, pp. 37-71
Persistent link: https://www.econbiz.de/10008989934