Narrow search
Showing 1 - 4 of 4
Cover Image
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10010109464
Cover Image
Trinomial or binomial: Accelerating American put option price on trees
Chan, Jiun Hong; Joshi, Mark; Tang, Robert; Yang, Chao - In: The journal of futures markets 29 (2009) 9, pp. 826-839
Persistent link: https://www.econbiz.de/10008277001
Cover Image
ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES
Joshi, Mark S. - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 89-104
Persistent link: https://www.econbiz.de/10008352624
Cover Image
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Joshi, Mark S. - In: Applied mathematical finance 14 (2007) 3, pp. 197-206
Persistent link: https://www.econbiz.de/10008221755