Similar Search Results

An efficient Monte Carlo method for discrete variance contracts

Merener, Nicolas; Vicchi, Leonardo - In: The journal of computational finance 18 (2014/15) 3, pp. 1-25

Persistent link: https://www.econbiz.de/10011298488

Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics

Gür, Sercan - 2019

Persistent link: https://www.econbiz.de/10012197036

A general control variate method for Lévy models in finance

Shiraya, Kenichiro; Uenishi, Hiroki; Yamazaki, Akira - In: European journal of operational research : EJOR 284 (2020) 3, pp. 1190-1200

Persistent link: https://www.econbiz.de/10012238947

Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study

Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95

testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …

Persistent link: https://www.econbiz.de/10012115106

Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk

Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 18-28

Persistent link: https://www.econbiz.de/10011687326

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

Value-at-risk estimation with stochastic interest rate models for option-bond portfolios

Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20

Persistent link: https://www.econbiz.de/10011807256

Stock price simulation using bootstrap and Monte Carlo

Pažický, Martin - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 155-170

Persistent link: https://www.econbiz.de/10011865983

Superiority of Monte Carlo simulation in valuing real options within public-private partnerships

Berk, Ales S.; Podhraski, Dejan - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011859007

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