Similar Search Results - EconBiz

Monte Carlo methods for pricing and hedging American options

Milʹstejn, Grigorij N.; Reiß, Oliver; Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2003

We introduce a new Monte Carlo method for constructing the exercise boundary of an American option in a generalized Black-Scholes framework. Based on a known exercise boundary, it is shown how to price and hedge the American option by Monte Carlo simulation of suitable probabilistic...

Persistent link: https://www.econbiz.de/10001802364

Bayesian analysis of the stochastic conditional duration model

Strickland, Chris M.; Forbes, Catherine Scipione; … - 2003

Persistent link: https://www.econbiz.de/10001854434

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

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

Box-Cox stochastic volatility models with heavy-tails and correlated errors

Zhang, Xibin; King, Maxwell L. - 2004

Persistent link: https://www.econbiz.de/10002479501

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

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

The direct approach to dept option pricing

Rady, Sven; Sandmann, Klaus - 1993 - Rev. version 1993

Persistent link: https://www.econbiz.de/10000348454

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000908122

The pricing and hedging of options in finitely elastic markets

Frey, Rüdiger - 1996

Persistent link: https://www.econbiz.de/10000939781

A service of the