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General error estimates for the Longstaff-Schwartz least-squares Monte Carlo algorithm
Zanger, Daniel Z. - In: Mathematics of operations research 45 (2020) 3, pp. 923-946
Persistent link: https://www.econbiz.de/10012293360
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Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data
Zanger, Daniel Z. - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 447-479
Persistent link: https://www.econbiz.de/10011969162
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Option pricing with conditional GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: European journal of operational research : EJOR 289 (2021) 1, pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
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Technical uncertainty in real options with learning
Jaimungal, Sebastian - In: The journal of energy markets 11 (2018) 4, pp. 51-73
Persistent link: https://www.econbiz.de/10012001975
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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
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CDS index options in Markov chain models
Herbertsson, Alexander - 2019
Persistent link: https://www.econbiz.de/10011965838
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On a monotone dynamic approach to optimal stopping problems for continuous-time Markov chains
Miclo, Laurent; Villeneuve, Stéphane - 2019
Persistent link: https://www.econbiz.de/10012181506
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A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30
Persistent link: https://www.econbiz.de/10013371064