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Importance sampling for jump p...
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Option pricing theory
importance sampling
193
Importance sampling
142
Theorie
134
Theory
116
Stochastischer Prozess
103
Stochastic process
98
Stichprobenerhebung
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72
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Mathematische Optimierung
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sample average approximation
55
Bayesian inference
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Simulation
49
Importance Sampling
40
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Bayes-Statistik
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Markov chain Monte Carlo
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Stochastic volatility
21
Maximum likelihood estimation
19
Portfolio selection
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Portfolio-Management
19
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19
Stochastic programming
18
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Reesor, R. Mark
2
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Stentoft, Lars
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1
Başoğlu, İsmail
1
Bernard, Carole
1
Boire, Francois-Michel
1
Boire, François-Michel
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Chen, Tzu-ying
1
Cui, Zhenyu
1
Fu, Michael
1
Fuh, Cheng-Der
1
Fusaro, Michelangelo
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Giribone, Pier Giuseppe
1
Gu, Guiding
1
Han, Chuan-Hsiang
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1
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1
Koster, Frank
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Müller, Armin
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The journal of computational finance
3
Computational economics
2
International journal of theoretical and applied finance
2
Journal of mathematical finance
2
Journal of risk and financial management : JRFM
2
Applied mathematical finance
1
Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
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European journal of operational research : EJOR
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
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5
Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
Jonen, Christian
-
2011
Persistent link: https://www.econbiz.de/10010204985
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6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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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