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Estimation of GARCH process in the presence of structural change
Simonato, Jean-Guy - In: Economics letters 40 (1992) 2, pp. 155-158
Persistent link: https://www.econbiz.de/10001138446
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A simplified quadrature approach for computing Bermudan option prices
Simonato, Jean-Guy - In: International review of finance 16 (2016) 4, pp. 647-658
Persistent link: https://www.econbiz.de/10011713815
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Dynamic asset allocation with event risk, transaction costs and predictable returns
Simonato, Jean-Guy - In: Mathematics and financial economics 12 (2018) 4, pp. 561-587
Persistent link: https://www.econbiz.de/10011963881
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New warrant issues valuation with leverage and equity model errors
Simonato, Jean-Guy - In: Journal of financial services research : JFSR 47 (2015) 2, pp. 247-272
Persistent link: https://www.econbiz.de/10011383819
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Approximating the multivariate distribution of time-aggregated stock returns under GARCH
Simonato, Jean-Guy - In: Journal of risk 16 (2013) 2, pp. 25-49
Persistent link: https://www.econbiz.de/10010237931
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Computing American option prices in the lognormal jump-diffusion framework with a Markov chain
Simonato, Jean-Guy - In: Finance research letters 8 (2011) 4, pp. 220-226
Persistent link: https://www.econbiz.de/10009425847
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The performance of Johnson distributions for computing value at risk and expected shortfall
Simonato, Jean-Guy - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10009316857
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GARCH processes with skewed and leptokurtic innovations : revisiting the Johnson Su case
Simonato, Jean-Guy - In: Finance research letters 9 (2012) 4, pp. 213-219
Persistent link: https://www.econbiz.de/10009689315
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Maximizing the probability to reach the goal : an exploration exercise in goal-based wealth management
Simonato, Jean-Guy - In: The journal of portfolio management : JPM 49 (2023) 5, pp. 189-207
Persistent link: https://www.econbiz.de/10014307639
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Asymptotic Distribution of the EMS Option Price Estimator
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: Management Science 47 (2001) 8, pp. 1122-1132
Monte Carlo simulation is commonly used for computing prices of derivative securities when an analytical solution does not exist. Recently, a new simulation technique known as empirical martingale simulation (EMS) has been proposed by Duan and Simonato (1998) as a way of improving simulation...
Persistent link: https://www.econbiz.de/10009203865