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Monte Carlo methods for pricing and hedging American options
Milʹstejn, Grigorij N.; Reiß, Oliver; Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2003
Carlo simulation of suitable probabilistic representations in connection with the respective parabolic boundary value … problem. The methods presented are supported by numerical simulation experiments. …
Persistent link: https://www.econbiz.de/10001802364
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Bayesian analysis of the stochastic conditional duration model
Strickland, Chris M.; Forbes, Catherine Scipione; … - 2003
Persistent link: https://www.econbiz.de/10001854434
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Bandwidth selection for multivariate kernel density estimation using MCMC
Zhang, Xibin; King, Maxwell L.; Hyndman, Rob J. - 2004
Persistent link: https://www.econbiz.de/10002121823
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Bayesian analysis of continuous time models of the Australian short rate
Sanford, Andrew D.; Martin, Gael M. - 2004
Persistent link: https://www.econbiz.de/10002121846
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Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin; King, Maxwell L. - 2004
Persistent link: https://www.econbiz.de/10002479501
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BayesX - software for Bayesian inference based on Markov Chain Monte Carlo simulation techniques : version 0.5
Lang, Stefan; Brezger, Andreas - 2000
Persistent link: https://www.econbiz.de/10001743606
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Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions : a Monte-Carlo study
Guillén, Osmani Teixeira de Carvalho; Issler, João Victor - 2005
Persistent link: https://www.econbiz.de/10003042610
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The direct approach to dept option pricing
Rady, Sven; Sandmann, Klaus - 1993 - Rev. version 1993
Persistent link: https://www.econbiz.de/10000348454
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A systematic approach to pricing and hedging of international derivatives with interest rate risk
Frey, Rüdiger - 1995
Persistent link: https://www.econbiz.de/10000908122
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The pricing and hedging of options in finitely elastic markets
Frey, Rüdiger - 1996
Persistent link: https://www.econbiz.de/10000939781