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The journal of computational finance
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1
Pricing path-dependent Bermudan options using Wiener chaos expansion : an embarrassingly parallel approach
Lelong, Jérôme
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012543612
Saved in:
2
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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3
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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5
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
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6
Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
Chen, Bin
;
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 79-113
Persistent link: https://www.econbiz.de/10009575387
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7
A bias-reduction technique for Monte Carlo pricing of early- exercise options
Whitehead, Tyson
;
Reesor, R. Mark
;
Davison, Matt
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 33-69
Persistent link: https://www.econbiz.de/10009534169
Saved in:
8
Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Chan, Jiun Hong
;
Joshi, Mark S.
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 77-109
Persistent link: https://www.econbiz.de/10009424801
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9
An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas
;
Vicchi, Leonardo
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011298488
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10
A Monte Carlo pricing algorithm for autocallables that allows for stable differentiation
Alm, Thomas
;
Harrach, Bastian von
;
Harrach, Daphne
; …
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 43-70
Persistent link: https://www.econbiz.de/10010337818
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