Narrow search
Showing 1 - 10 of 10
Cover Image
Multilevel dual approach for pricing American style derivatives
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian - In: Finance and stochastics 17 (2013) 4, pp. 717-742
Persistent link: https://www.econbiz.de/10010183828
Cover Image
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10008160564
Cover Image
RESEARCH PAPERS - Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2012) 4, pp. 3-45
Persistent link: https://www.econbiz.de/10009993874
Cover Image
Primaldual linear Monte Carlo algorithm for multiple stoppingan application to flexible caps
BALDER, SVEN; MAHAYNI, ANTJE; SCHOENMAKERS, JOHN - In: Quantitative finance 13 (2013) 7, pp. 1003-1013
Persistent link: https://www.econbiz.de/10010141819
Cover Image
Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-50
Persistent link: https://www.econbiz.de/10008222878
Cover Image
From structural assumptions to a link between assets and interest rates
Reiß, Oliver; Schoenmakers, John; Schweizer, Martin - In: Journal of economic dynamics & control 31 (2007) 2, pp. 593-612
Persistent link: https://www.econbiz.de/10007590420
Cover Image
A pure martingale dual for multiple stopping
Schoenmakers, John - In: Finance and stochastics 16 (2012) 2, pp. 319-335
Persistent link: https://www.econbiz.de/10009839744
Cover Image
EXOTIC OPTIONS: Iterating cancellable snowballs and related exotics - Effective valuation procedures for callable exotics are a thorny problem. In particular, standard methods reve...
Sender, Christian; Kolodo, Anastasia; Schoenmakers, John - In: Risk : managing risk in the world's financial markets 19 (2006) 9, pp. 126
Persistent link: https://www.econbiz.de/10007383513
Cover Image
Spectral calibration of exponential Lévy models
Belomestny, Denis; Reiß, Markus - In: Finance and stochastics 10 (2006) 4, pp. 449
Persistent link: https://www.econbiz.de/10008222263
Cover Image
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
Belomestny, Denis - In: Finance and stochastics 15 (2011) 4, pp. 655-684
Persistent link: https://www.econbiz.de/10009805448