Similar Search Results

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

Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks

Yu, Chao; Wang, Xiaoqun - In: Computational economics 62 (2023) 1, pp. 325-360

Persistent link: https://www.econbiz.de/10014327500

Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing

Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 23 (2023) 2, pp. 209-227

Persistent link: https://www.econbiz.de/10014232621

A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance

Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371

Persistent link: https://www.econbiz.de/10011642221

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

To bridge, to warp or to wrap? : a comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009

importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative analysis is … appropriately yet quickly tuned candidate, straightforward importance sampling provides the most efficient estimator of the marginal …

Persistent link: https://www.econbiz.de/10011377602