Narrow search
Showing 1 - 10 of 62,143
Cover Image
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 20 (2020) 9, pp. 1457-1473
Persistent link: https://www.econbiz.de/10012295614
Cover Image
Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Cover Image
A modified stochastic volatility model based on Gamma Ornstein-Uhlenbeck process and option pricing
Mi, Yanhui - In: International journal of financial engineering 3 (2016) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011577132
Cover Image
Deep weighted Monte Carlo : a hybrid option pricing framework using neural networks
Kunsági-Máté, Sándor; Fáth, Gábor; Csabai, István; … - In: Quantitative finance 23 (2023) 4, pp. 615-629
Persistent link: https://www.econbiz.de/10014304287
Cover Image
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian; De Marco, Stefano - In: The journal of computational finance 26 (2022) 2, pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Cover Image
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique; Guerra, João - In: The journal of computational finance 26 (2022) 3, pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Cover Image
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
Cover Image
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
Cover Image
JDOI variance reduction method and the pricing of American-style options
Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
Cover Image
Examining the efficiency of American put option pricing by Monte Carlo methods with variance reduction
Chang, George - In: International journal of economics and finance 10 (2018) 2, pp. 10-13
Persistent link: https://www.econbiz.de/10011814902