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Monte Carlo methods for security pricing

Boyle, Phelim; Broadie, Mark; Glasserman, Paul - In: Journal of Economic Dynamics and Control 21 (1997) 8-9, pp. 1267-1321

Persistent link: https://www.econbiz.de/10005205081

Social Security Wealth and Private Saving in Canada.

Boyle, Phelim; Murray, John - In: Canadian Journal of Economics 12 (1979) 3, pp. 456-68

Persistent link: https://www.econbiz.de/10005263625

Pricing exotic options under regime switching

Boyle, Phelim; Draviam, Thangaraj - In: Insurance / Mathematics & economics 40 (2007) 2, pp. 267-282

Persistent link: https://www.econbiz.de/10007397164

Executive Stock Options and Concavity of the Option Price

Boyle, Phelim; Scott, William R. - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 72

Persistent link: https://www.econbiz.de/10007272794

Monte Carlo methods for pricing discrete Parisian options

Bernard, Carole; Boyle, Phelim - In: The European Journal of Finance 17 (2011) 3, pp. 169-196

The paper develops an efficient Monte Carlo method to price discretely monitored Parisian options based on a control variate approach. The paper also modifies the Parisian option design by assuming the option is exercised when the barrier condition is met rather than at maturity. We obtain...

Persistent link: https://www.econbiz.de/10009276929

Life after VaR

Boyle, Phelim; Hardy, Mary; Vorst, Ton - In: The journal of derivatives : the official publication … 13 (2005) 1, pp. 48-55

Persistent link: https://www.econbiz.de/10005920605

Computation of optimal portfolios using simulation-based dimension reduction

Boyle, Phelim; Imai, Junichi; Tan, Ken Seng - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 327-338

Persistent link: https://www.econbiz.de/10008149216

The design of equity-indexed annuities

Boyle, Phelim; Tian, Weidong - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 303-315

Persistent link: https://www.econbiz.de/10008149218

Optimal design of equity-linked products with a probabilistic constraint

Boyle, Phelim; Tian, Weidong - In: Scandinavian actuarial journal : Actuarial Society of … (2009) 4, pp. 253-280

Persistent link: https://www.econbiz.de/10008331460

ARTICLES - Pricing of New Securities in an Incomplete Market: The Catch 22 of No-Arbitrage Pricing

Boyle, Phelim; Wang, Tan - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 267-284

Persistent link: https://www.econbiz.de/10008216990