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~type_genre:"Aufsatz in Zeitschrift"
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ECONIS (ZBW)
27
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1
True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis
;
Bender, Christian
;
Schoenmakers, John
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 53-71
Persistent link: https://www.econbiz.de/10003818229
Saved in:
2
Sensitivities for Bermudan options by regression methods
Belomestny, Denis
;
Milʹstejn, Grigorij N.
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
33
(
2010
)
2
,
pp. 117-138
Persistent link: https://www.econbiz.de/10008668146
Saved in:
3
Pricing CMS spread options in a Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, John
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
Saved in:
4
Multilevel dual approach for pricing American style derivates
Belomestny, Denis
;
Schoenmakers, John
;
Dickmann, Fabian
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 717-742
Persistent link: https://www.econbiz.de/10010190883
Saved in:
5
Solving optimal stopping problems via randomization and empirical dual optimization
Belomestny, Denis
;
Bender, Christian
;
Schoenmakers, John
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1454-1480
Persistent link: https://www.econbiz.de/10014329294
Saved in:
6
From optimal martingales to randomized dual optimal stopping
Belomestny, Denis
;
Schoenmakers, John
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1099-1113
Persistent link: https://www.econbiz.de/10014321666
Saved in:
7
A pure martingale dual for multiple stopping
Schoenmakers, John
- In:
Finance and stochastics
16
(
2012
)
2
,
pp. 319-334
Persistent link: https://www.econbiz.de/10009544665
Saved in:
8
Pricing Bermudan options by nonparametric regression : optimal rates of convergence for lower estimates
Belomestny, Denis
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 655-683
Persistent link: https://www.econbiz.de/10009423289
Saved in:
9
From structural assumptions to a link between assets and interrest rates
Reiß, Oliver
;
Schoenmakers, John
;
Schweizer, Martin
- In:
Journal of economic dynamics & control
31
(
2007
)
2
,
pp. 593-612
Persistent link: https://www.econbiz.de/10003412327
Saved in:
10
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
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