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Risk estimation via regression
Broadie, Mark; Du, Yiping; Moallemi, Ciamac C. - In: Operations research 63 (2015) 5, pp. 1077-1097
Persistent link: https://www.econbiz.de/10011397803
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A deep learning approach to estimating fill probabilities in a limit order book
Maglaras, Costis; Moallemi, Ciamac C.; Wang, Muye - In: Quantitative finance 22 (2022) 11, pp. 1989-2003
Persistent link: https://www.econbiz.de/10013490915
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Estimating Greeks in simulating Lévy-driven models
Glasserman, Paul; Liu, Zongjian - In: The journal of computational finance 14 (2010/11) 2, pp. 3-56
Persistent link: https://www.econbiz.de/10008810140
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Pricing American style securities using simulation
Broadie, Mark - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1323-1352
Persistent link: https://www.econbiz.de/10001222047
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Monte Carlo methods for security pricing
Boyle, Phelim P. - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1267-1321
Persistent link: https://www.econbiz.de/10001222048
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Enhanced Monte Carlo estimates for American option prices
Broadie, Mark - In: The journal of derivatives : the official publication … 5 (1997) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10001226468
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Maximum entropy distributions with applications to graph simulation
Glasserman, Paul; Larrea, Enrique Lelo de - In: Operations research 71 (2023) 5, pp. 1908-1924
Persistent link: https://www.econbiz.de/10014393288