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Pricing financial derivatives on weather sensitive assets
Filar, Jerzy A.; Kang, Boda; Korolkiewicz, Malgorzata - 2008
Persistent link: https://www.econbiz.de/10003857122
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Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
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Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - 2009
Persistent link: https://www.econbiz.de/10003924345
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Monte-Carlo valuation of American options : facts and new algorithms to improve existing methods
Bouchard, Bruno; Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 215-255). 2012
Persistent link: https://www.econbiz.de/10009577193
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MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.; Li, Haitao; Wells, Martin T. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
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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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An empirical evaluation of value at risk by scenario simulation
Abken, Peter A. - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 12-29
Persistent link: https://www.econbiz.de/10001500033
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Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods
Fu, Michael; Madan, Dilip B.; Wang, Tong - In: The journal of computational finance 2 (1998/1999) 2, pp. 49-74
Persistent link: https://www.econbiz.de/10001633397
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Value-at-risk models and option portfolios
Brown, Christine; Chan, Rosemary - In: Economic papers : a journal of applied economics and policy 18 (1999) 4, pp. 107-122
Persistent link: https://www.econbiz.de/10001440662
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Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo; Caramellino, Lucia; Iovino, Maria Gabriella - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001444185