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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
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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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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
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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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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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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