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Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
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Simulating path-dependent options : a new approach
Babsiri, Mohamed el; Noel, Gerald - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 65-83
Persistent link: https://www.econbiz.de/10001355631
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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Enhancing the accuracy of pricing American and Bermudan options
Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 34-44
Persistent link: https://www.econbiz.de/10003010747
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Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.; Welke, Gerd M. - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 29-47
Persistent link: https://www.econbiz.de/10003733222
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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Pricing early-exercise options using genetic optimization
Powell, Stephen G. - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 43-59
Persistent link: https://www.econbiz.de/10009725349
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Low-discrepancy sequences : Monte Carlo simulation of option prices
Galanti, Silvio - In: The journal of derivatives : the official publication … 5 (1997) 1, pp. 63-83
Persistent link: https://www.econbiz.de/10001226460
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Enhanced Monte Carlo estimates for American option prices
Broadie, Mark - In: The journal of derivatives : the official publication … 5 (1997) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10001226468
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Monte Carlo estimation of American call options on the maximum of several stocks
Raymar, Steven B. - In: The journal of derivatives : the official publication … 5 (1997) 1, pp. 7-23
Persistent link: https://www.econbiz.de/10001226475