Narrow search
Showing 141 - 150 of 42,498
Cover Image
A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, … - In: Quantitative finance 19 (2019) 7, pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755
Cover Image
Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 19 (2019) 10, pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
Cover Image
Evaluation of options using the Black-Scholes methodology
Brătian, Vasile - In: Expert journal of economics 7 (2019) 2, pp. 59-65
this paper with our results in an article where we determined the values for Call and Put by Monte Carlo simulation. …
Persistent link: https://www.econbiz.de/10012131594
Cover Image
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
Cover Image
Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics
Gür, Sercan - 2019
Persistent link: https://www.econbiz.de/10012197036
Cover Image
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
Fries, Christian - In: The journal of computational finance 22 (2018/2019) 4, pp. 103-125
Persistent link: https://www.econbiz.de/10012042220
Cover Image
Optimal expansion of a hydrogen storage system for wind power: a real options analysis
Franzen, Stefan; Madlener, Reinhard - 2017 - Revised
Persistent link: https://www.econbiz.de/10011704670
Cover Image
Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo - In: Applied mathematical finance 27 (2020) 3, pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
Cover Image
American option pricing using simulation with an application to the GARCH model
Stentoft, Lars - In: Handbook of research methods and applications in …, (pp. 114-147). 2013
Persistent link: https://www.econbiz.de/10011897373
Cover Image
Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Asghari, Naser M.; Mandjes, Michel - In: The journal of computational finance 20 (2016) 2, pp. 67-100
Persistent link: https://www.econbiz.de/10011656711