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Pricing exotic derivatives exploiting structure
Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European journal of operational research : EJOR 236 (2014) 1, pp. 369-381
Persistent link: https://www.econbiz.de/10010361703
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Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong; Zeng, Pingping - In: Applied mathematical finance 23 (2016) 5/6, pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
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Hedging of Asian options under exponential Lévy models : computation and performance
Ballotta, Laura; Gerrard, Russell; Kyriakou, Ioannis - In: The European journal of finance 23 (2017) 4/6, pp. 297-323
Persistent link: https://www.econbiz.de/10011736257
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Simulation of arbitrage-free implied volatility surfaces
Cont, Rama; Vuletić, Milena - In: Applied mathematical finance 30 (2023) 2, pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
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Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
Zeng, Pingping; Xu, Ziqing; Jiang, Pingping; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 842-890
Persistent link: https://www.econbiz.de/10014329916
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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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The simulation of European call options' sensitivity based on black-scholes option formula
Cui, Yujie; Yu, Baoli - In: Journal of mathematical finance 2 (2012) 3, pp. 264-268
Persistent link: https://www.econbiz.de/10009711970
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Option payoffs with simulation of disturbances return
Lee, Yen-Hsien; Lin, Shu-shian - In: The empirical economics letters : a monthly … 11 (2012) 3, pp. 297-305
Persistent link: https://www.econbiz.de/10009758209
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Bias correction for bond option greeks via jackknife
Zhang, Jinyu; Gao, Kang; Li, Yong - In: The journal of derivatives : JOD 28 (2021) 4, pp. 45-63
Persistent link: https://www.econbiz.de/10012612919
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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