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Pricing and hedging with discontinuous functions : quasi-Monte Carlo methods and dimensions reduction
Wang, Xiaoqun; Tan, Ken Seng - In: Management science : journal of the Institute for … 59 (2013) 2, pp. 376-389
Persistent link: https://www.econbiz.de/10009713876
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Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction
Wang, Xiaoqun; Tan, Ken Seng - In: Management science : journal of the Institute for … 59 (2013) 2, pp. 376-389
Persistent link: https://www.econbiz.de/10010073686
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Dimension reduction techniques in quasi-Monte Carlo methods for option pricing
Wang, Xiaoqun - In: INFORMS journal on computing : JOC 21 (2009) 3, pp. 488-504
Persistent link: https://www.econbiz.de/10003883490
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Handling discontinuities in financial engineering : good path simulation and smoothing
Wang, Xiaoqun - In: Operations research 64 (2016) 2, pp. 297-314
Persistent link: https://www.econbiz.de/10011485479
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An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
Weng, Chengfeng; Wang, Xiaoqun; He, Zhijian - In: European journal of operational research : EJOR 254 (2016) 1, pp. 304-311
Persistent link: https://www.econbiz.de/10011503307
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An integrated Quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
He, Zhijian; Wang, Xiaoqun - In: Computational economics 57 (2021) 2, pp. 693-718
Persistent link: https://www.econbiz.de/10012486953
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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
Xie, Fei; He, Zhijian; Wang, Xiaoqun - In: European journal of operational research : EJOR 274 (2019) 2, pp. 759-772
Persistent link: https://www.econbiz.de/10011990222
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Quasi-Monte Carlo-based conditional pathwise method for option Greeks
Zhang, Chaojun; Wang, Xiaoqun - In: Quantitative finance 20 (2020) 1, pp. 49-67
Persistent link: https://www.econbiz.de/10012194854
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Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Xiao, Ye; Wang, Xiaoqun - In: Computational economics 54 (2019) 1, pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
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Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
Xiang, Jiangming; Wang, Xiaoqun - In: Quantitative finance 20 (2020) 10, pp. 1701-1720
Persistent link: https://www.econbiz.de/10012313503