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FX options and smile risk
Castagna, Antonio - 2010
Persistent link: https://www.econbiz.de/10003849324
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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
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A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre; Lund, Arne-Christian - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
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Consistent pricing and hedging of an FX options book
Bisesti, Lorenzo; Castagna, Antonio; Mercurio, Fabio - In: The Kyoto economic review 74 (2005) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10003379596
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Asset pricing in the early twentieth century
Moore, Lyndon C. - 2006
Persistent link: https://www.econbiz.de/10003908181
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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
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Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo; Robertson, Scott - In: Finance and stochastics 12 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003592542
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Path-dependent currency options with mean reversion
Wong, Hoi Ying; Lau, Ka Yung - In: The journal of futures markets 28 (2008) 3, pp. 275-293
Persistent link: https://www.econbiz.de/10003699322
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Total risk minimization using Monte Carlos simulations
Coleman, Thomas F.; Li, Yuying; Patron, Maria-Christina - In: Financial engineering, (pp. 593-635). 2008
Persistent link: https://www.econbiz.de/10003567761
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A technique for reducing discretization bias from Monte Carlo simulations : option pricing under stochastic interest rates
Lindset, Snorre; Lund, Arne-Christian - In: The European journal of finance 13 (2007) 5/6, pp. 545-564
Persistent link: https://www.econbiz.de/10003570611