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Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
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Modular pricing of options : an application of Fourier analysis
Zhu, Jianwei - 2000
Persistent link: https://www.econbiz.de/10001499875
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Über einige Modellklassen für kontinuierliche Zeitreihen und deren Anwendung in der Finanzmathematik
Surulescu, Nicolae Mircea - 2010
Persistent link: https://www.econbiz.de/10008935502
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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
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Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
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Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan; Young, Virginia R. - In: Annals of finance 4 (2008) 4, pp. 399-429
Persistent link: https://www.econbiz.de/10003737188
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An analysis of American options under heston stochastic volatility and jump-diffusion dynamics
Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - 2009
Persistent link: https://www.econbiz.de/10009233319