Narrow search
Showing 1 - 10 of 1,087
Cover Image
American Put Option Pricing Using a Hybrid Evolutionary Computation and Monte-Carlo Simulation Method
Swain, Anjan Kumar - 2017
improvements over that of conventional Monte-Carlo simulation method. It is argued that the proposed method effectively computes …
Persistent link: https://www.econbiz.de/10012955533
Cover Image
Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
Cover Image
A semi-closed form approximation of arbitrage‑free call option price surface
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 63 (2024) 4, pp. 1431-1457
Persistent link: https://www.econbiz.de/10014549032
Cover Image
A primal-dual algorithm for BSDES
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 866-901
Persistent link: https://www.econbiz.de/10011764983
Cover Image
Dual pricing of multi-exercise options under volume constraints
Bender, Christian - In: Finance and stochastics 15 (2011) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10008824146
Cover Image
Automated option pricing : numerical methods
Henry-Labordère, Pierre - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10010243611
Cover Image
Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
Cover Image
Least Squares Monte Carlo and Approximate Linear Programming : Error Bounds and Energy Real Option Application
Nadarajah, Selvaprabu - 2018
Least squares Monte Carlo (LSM) is an approximate dynamic programming (ADP) technique commonly used for the valuation of high dimensional financial and real options, but has broader applicability. It is known that the regress-later version of this method is an approximate linear programming...
Persistent link: https://www.econbiz.de/10012912912
Cover Image
Forest of stochastic trees: a method for valuing multiple exercise options
Reesor, R. Mark; Marshall, T. James - In: Journal of risk and financial management : JRFM 13 (2020) 5/95, pp. 1-31
We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The …
Persistent link: https://www.econbiz.de/10012304872
Cover Image
Importance sampling in stochastic programming : a Markov chain Monte Carlo approach
Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377
Persistent link: https://www.econbiz.de/10011291297