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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
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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
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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
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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
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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
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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
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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