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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
2
Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong
;
Joshi, Mark S.
;
Tang, Robert
;
Chao Yang
-
2008
Persistent link: https://www.econbiz.de/10003797820
Saved in:
3
Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong
;
Joshi, Mark S.
;
Tang, Robert
;
Chao Yang
- In:
The journal of futures markets
29
(
2009
)
9
,
pp. 826-839
Persistent link: https://www.econbiz.de/10003900848
Saved in:
4
Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
Saved in:
5
Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
-
2009
Persistent link: https://www.econbiz.de/10003924345
Saved in:
6
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
7
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
Saved in:
8
Juggling snowballs
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797799
Saved in:
9
Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806621
Saved in:
10
Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924341
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