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Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
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Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
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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
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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
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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
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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
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SABR equipped with AI wings
Funahashi, Hideharu - In: Quantitative finance 23 (2023) 2, pp. 229-249
Persistent link: https://www.econbiz.de/10014232624
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Shot-noise cojumps : exact simulation and option pricing
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 74 (2023) 3, pp. 647-665
Persistent link: https://www.econbiz.de/10014331928
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Learning the random variables in Monte Carlo simulations with stochastic gradient descent : machine learning for parametric PDEs and financial derivative pricing
Becker, Sebastian; Jentzen, Arnulf; Müller, Marvin S.; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 90-150
Persistent link: https://www.econbiz.de/10014471160
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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
Persistent link: https://www.econbiz.de/10011704227