Narrow search
Showing 1 - 10 of 268
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Monte Carlo pricing in the Schöbel-Zhu model and its extensions
Haastrecht, Alexander van; Lord, Roger; Pelsser, Antoon … - In: The journal of computational finance 17 (2013/14) 3, pp. 57-86
Persistent link: https://www.econbiz.de/10010366279
Cover Image
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
Cover Image
The efficient application of automatic differentiation for computing gradients in financial applications
Xu, Wei; Chen, Xi; Coleman, Thomas F. - In: The journal of computational finance 19 (2016) 3, pp. 71-96
Persistent link: https://www.econbiz.de/10011563485