Narrow search
Showing 1 - 10 of 24
Cover Image
Importance sampling for jump processes and applications to finance
Badouraly Kassim, Laetitia; Lelong, Jérôme; … - In: The journal of computational finance 19 (2015/2016) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
Cover Image
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
Cover Image
The valuation of catastrophe bonds with exposure to currency exchange risk
Lai, Van Son; Parcollet, Mathieu; Lamond, Bernard F. - In: International review of financial analysis 33 (2014), pp. 243-252
Persistent link: https://www.econbiz.de/10010520456
Cover Image
Variance reduction techniques of importance sampling Monte Carlo methods for pricing options
Zhao, Qiang; Liu, Guo; Gu, Guiding - In: Journal of mathematical finance 3 (2013) 4, pp. 431-436
Persistent link: https://www.econbiz.de/10010239518
Cover Image
Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
Jonen, Christian - 2011
Persistent link: https://www.econbiz.de/10010204985
Cover Image
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Cover Image
Stochastic volatility and leverage : application to a panel of S&P500 stocks
Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76
Persistent link: https://www.econbiz.de/10011552253
Cover Image
Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
Cover Image
A new variance reduction technique for estimating value-at-risk
Korn, Ralf; Pupashenko, Mykhailo - In: Applied mathematical finance 22 (2015) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10010505164
Cover Image
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