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Pricing discrete double barrier options with a numerical method
Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: The journal of asset management 16 (2015) 4, pp. 243-271
Persistent link: https://www.econbiz.de/10011413369
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An application of the put-call-parity to variance reduced Monte-Carlo option pricing
Müller, Armin - 2016
Persistent link: https://www.econbiz.de/10011479909
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Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng; Li, Zhongfei; Zeng, Yan - In: IMA journal of management mathematics 26 (2015) 1, pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
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Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
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Efficient numerical pricing of American call options using symmetry arguments
Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26
This paper demonstrates that it is possible to improve significantly on the estimated call prices obtained with the regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large sample of options with characteristics of relevance...
Persistent link: https://www.econbiz.de/10012022212
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Pricing of vulnerable options with early counterparty credit risk
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 47 (2019), pp. 645-656
Persistent link: https://www.econbiz.de/10012120148
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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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Improved variance reduced Monte-Carlo simulation of in-the-money options
Müller, Armin - In: Journal of mathematical finance 6 (2016) 3, pp. 361-367
Persistent link: https://www.econbiz.de/10011583475
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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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Pricing Asian options : a comparison of numerical and simulation approaches twenty years later
Horvath, Akos; Medvegyev, Peter - In: Journal of mathematical finance 6 (2016) 5, pp. 810-841
Persistent link: https://www.econbiz.de/10011657691