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Weak discrete time approximation of stochastic differential equations with time delay

Küchler, Uwe; Platen, Eckhard - 2001

equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for …

Persistent link: https://www.econbiz.de/10010310333

Real world pricing of long term contracts

Platen, Eckhard - 2009

Persistent link: https://www.econbiz.de/10008662357

Numerical solution of stochastic differential equations with jumps in finance

Platen, Eckhard; Bruti-Liberati, Nicola - 2010 - 1. ed.

Persistent link: https://www.econbiz.de/10003934874

Real-world pricing for a modified constant elasticity of variance model

Miller, Shane M.; Platen, Eckhard - In: Applied mathematical finance 17 (2010) 1/2, pp. 147-175

Persistent link: https://www.econbiz.de/10003975379

Strong predictor-corrector Euler methods for stochastic differential equations

Bruti-Liberati, Nicola; Platen, Eckhard - 2008

Persistent link: https://www.econbiz.de/10003857121

Real world pricing for a modified constant elasticity of variance model

Miller, Shane M.; Platen, Eckhard - 2008

Persistent link: https://www.econbiz.de/10003857174

A Monte Carlo method using PDE expansions for a diversifed equity index model

Heath, David C.; Platen, Eckhard - 2014

Persistent link: https://www.econbiz.de/10011344801

On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance

Liberati, Nicola Bruti; Platen, Eckhard - 2004

Persistent link: https://www.econbiz.de/10002250960

A hardware generator of multi-point distributed random numbers for Monte Carlo simulation

Bruti-Liberati, Nicola; Martini, Filippo; Piccardi, Massimo - 2005

Persistent link: https://www.econbiz.de/10002863383

Real World Pricing of Long Term Contracts

Platen, Eckhard - 2012

This paper proposes a paradigm shift in the valuation of long term contracts, away from classical no-arbitrage pricing towards pricing under the real world probability measure. In contrast to risk neutral pricing, which is a form of relative pricing, the long term average excess return of the...

Persistent link: https://www.econbiz.de/10013115192