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A modified least-squares simulation approach to value American barrier options
Zhang, Lihua; Zhang, Weiguo; Xu, Weijun; Shi, Xiang - In: Computational economics 44 (2014) 4, pp. 489-506
Persistent link: https://www.econbiz.de/10010489859
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Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
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A measure-valued differentiation approach to sensitivities of quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - In: Mathematics of operations research 41 (2016) 1, pp. 293-317
Persistent link: https://www.econbiz.de/10011448383
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A cash flow-based approach for assessing expansion options stemming from project modularity
Caron, Franco; Comandulli, Monia - In: International journal of project organisation & … 6 (2014) 1/2, pp. 157-178
Persistent link: https://www.econbiz.de/10010393431
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Continuous-time Monte Carlo methods and variance reduction
Newton, Nigel J. - In: Numerical methods in finance, (pp. 22-42). 2008
Persistent link: https://www.econbiz.de/10003723879
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Modeling risk : applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques
Mun, Johnathan - 2006
Persistent link: https://www.econbiz.de/10003212058
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Convergence of Monte Carlo simulations involving the mean-reverting square root process
Higham, Desmond J.; Mao, Xuerong - In: The journal of computational finance 8 (2004/2005) 3, pp. 35-61
Persistent link: https://www.econbiz.de/10002996511
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Improving the least-squares Monte-Carlo approach
Søndergaard Rasmussen, Nicki - 2002
Persistent link: https://www.econbiz.de/10001721476
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Valuation of multidimensional American path-dependent options : a simulation approach
Scholz, Stefan - 2002
Persistent link: https://www.econbiz.de/10001665004
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Pricing constant maturity floaters with embedded options using Monte-Carlo simulation
Dockner, Engelbert J.; Moritsch, Hans - In: Financial modelling : proceedings of the 23rd Meeting …, (pp. 255-275). 1999
Persistent link: https://www.econbiz.de/10001739694