Narrow search
Showing 1 - 10 of 1,060
Cover Image
Pricing the exotic: path-dependent american options with stochastic barriers
Rojas-Bernal, Alejandro; Villamizar-Villegas, Mauricio; … - 2021
Persistent link: https://www.econbiz.de/10012804267
Cover Image
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
Cover Image
Evaluation of options using the Black-Scholes methodology
Brătian, Vasile - In: Expert journal of economics 7 (2019) 2, pp. 59-65
this paper with our results in an article where we determined the values for Call and Put by Monte Carlo simulation. …
Persistent link: https://www.econbiz.de/10012131594
Cover Image
Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study
Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95
testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …
Persistent link: https://www.econbiz.de/10012115106
Cover Image
Asymptotic normality for EMS option price estimator with continuous or discontinuous payoff functions
Yuan, Zhushun; Chen, Gemai - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1438-1450
Persistent link: https://www.econbiz.de/10003885452
Cover Image
Monte Carlo techniques in pricing and using derivatives
Marshall, Cara M. - In: Financial derivatives : pricing and risk management, (pp. 425-440). 2010
Persistent link: https://www.econbiz.de/10003920439
Cover Image
A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: International review of economics & finance : IREF 85 (2023), pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
Cover Image
A ne on simulation pricing of π-options
Palmowski, Zbigniew; Serafin, Tomasz - In: Risks : open access journal 8 (2020) 3/90, pp. 1-19
In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result, this algorithm...
Persistent link: https://www.econbiz.de/10012293283
Cover Image
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
Hu, Xiaobo; Xue, Jungong; Yu, Xiandi - In: Quantitative finance 22 (2022) 9, pp. 1693-1716
Persistent link: https://www.econbiz.de/10013367941
Cover Image
A risk-neutral stochastic volatility model
Zhu, Yingzi - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 289-310
Persistent link: https://www.econbiz.de/10001240151