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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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Exotic derivatives under stochastic volatility models with jumps
Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Advanced mathematical methods for finance, (pp. 455-508). 2011
Persistent link: https://www.econbiz.de/10008991275
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Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz; Nkurunziza, Sévérien; Liu, Shuangzhe - In: Statistical inference, econometric analysis and matrix …, (pp. 255-270). 2009
Persistent link: https://www.econbiz.de/10003781036
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Bayesian inference for a periodic stochastic volatility model of intraday electricity prices
Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010
Persistent link: https://www.econbiz.de/10003964500
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Comparison of stochastic frontier "effect" models using Monte Carlo simulation
Lee, Young Hoon; Shin, Jinseok - In: Festschrift in honor of Peter Schmidt : econometric …, (pp. 259-279). 2014
Persistent link: https://www.econbiz.de/10011559058
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A Bayesian semiparametric analysis of ARCH models
Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000
Persistent link: https://www.econbiz.de/10001497195
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Sequential Monte Carlo sampling for state space models
Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017
The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.
Persistent link: https://www.econbiz.de/10011800920
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Interest rate barrier options
Barone-Adesi, Giovanni; Sorwar, Ghulam - In: Computational methods in decision-making, economics and …, (pp. 313-324). 2010
Persistent link: https://www.econbiz.de/10009153078
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Pricing constant maturity floaters with embedded options using Monte-Carlo simulation
Dockner, Engelbert J.; Moritsch, Hans - In: Financial modelling : proceedings of the 23rd Meeting …, (pp. 255-275). 1999
Persistent link: https://www.econbiz.de/10001739694
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American option pricing using simulation with an application to the GARCH model
Stentoft, Lars - In: Handbook of research methods and applications in …, (pp. 114-147). 2013
Persistent link: https://www.econbiz.de/10011897373