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Optimal investment : bounds and heuristics
Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011442629
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Simulating the Cox-Ingersoll-Ross and Heston processes : matching the first four moments
Okhrin, Ostap; Rockinger, Michael; Schmid, Manuel - In: The journal of computational finance 26 (2022) 2, pp. 1-52
Persistent link: https://www.econbiz.de/10013549657
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Pricing and hedging American-style options: a simple simulation-based approach
Wang, Yang; Caflisch, Russel - In: The journal of computational finance 13 (2009/10) 4, pp. 95-125
Persistent link: https://www.econbiz.de/10003996081
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Estimating Greeks in simulating Lévy-driven models
Glasserman, Paul; Liu, Zongjian - In: The journal of computational finance 14 (2010/11) 2, pp. 3-56
Persistent link: https://www.econbiz.de/10008810140
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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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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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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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Simulation of Lévy processes and option pricing
Dia, El Hadj Aly - In: The journal of computational finance 17 (2013) 2, pp. 41-69
Persistent link: https://www.econbiz.de/10010239115
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Exact simulation pricing with Gamma processes and their extensions
James, Lancelot F.; Kim, Dohyun; Zhang, Zhiyuan - In: The journal of computational finance 17 (2013) 2, pp. 3-39
Persistent link: https://www.econbiz.de/10010239119
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Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf; Liang, Qian - In: The journal of computational finance 17 (2013/2014) 3, pp. 87-110
Persistent link: https://www.econbiz.de/10010366276